#include <ql/Instruments/swaption.hpp>
Inheritance diagram for Swaption:
[legend]List of all members.
Detailed Description
Swaption class
- Tests:
- a) the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
b) the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
c) the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
d) the correctness of the returned value is tested by checking it against a known good value.
Member Function Documentation
void setupArguments |
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Arguments * |
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const [virtual] |
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When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument. |
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