GSP
Quick Navigator

Search Site

Unix VPS
A - Starter
B - Basic
C - Preferred
D - Commercial
MPS - Dedicated
Previous VPSs
* Sign Up! *

Support
Contact Us
Online Help
Handbooks
Domain Status
Man Pages

FAQ
Virtual Servers
Pricing
Billing
Technical

Network
Facilities
Connectivity
Topology Map

Miscellaneous
Server Agreement
Year 2038
Credits
 

USA Flag

 

 

Man Pages
BERMUDANSWAPTION(1) FreeBSD General Commands Manual BERMUDANSWAPTION(1)

BermudanSwaption - Example of using QuantLib

BermudanSwaption

BermudanSwaption is an example of using the QuantLib interest-rate model framework.
BermudanSwaption prices a bermudan swaption using different models calibrated to market swaptions. The calibration examples include Hull and White's using both an analytic formula as well as numerically, and Black and Karasinski's model. Using these three calibrations, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-money volatilities.

The source code BermudanSwaption.cpp, Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.

The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.
04 May 2002 QuantLib

Search for    or go to Top of page |  Section 1 |  Main Index

Powered by GSP Visit the GSP FreeBSD Man Page Interface.
Output converted with ManDoc.