Swaption Class Reference
[Financial instruments]

#include <ql/Instruments/swaption.hpp>

Inheritance diagram for Swaption:

Inheritance graph
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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.


Public Member Functions

 Swaption (const boost::shared_ptr< SimpleSwap > &swap, const boost::shared_ptr< Exercise > &exercise, const RelinkableHandle< TermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine)
bool isExpired () const
 returns whether the instrument is still tradable.

void setupArguments (Arguments *) const


Member Function Documentation

void setupArguments Arguments  )  const [virtual]
 

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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