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BERMUDANSWAPTION(1)	    General Commands Manual	   BERMUDANSWAPTION(1)

NAME
       BermudanSwaption	- Example of using QuantLib

SYNOPSIS
       BermudanSwaption

DESCRIPTION
       BermudanSwaption	 is  an	 example  of  using the	QuantLib interest-rate
       model framework.

       BermudanSwaption	prices a bermudan swaption using different models cal-
       ibrated	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.

SEE ALSO
       The   source  code  BermudanSwaption.cpp,  Bonds(1),  CallableBonds(1),
       CDS(1), ConvertibleBonds(1), DiscreteHedging(1),	EquityOption(1),  Fit-
       tedBondCurve(1),	 FRA(1),  MarketModels(1), MulticurveBootstrapping(1),
       Replication(1), Repo(1),	the  QuantLib  documentation  and  website  at
       http://quantlib.org.

AUTHORS
       The QuantLib Group (see Contributors.txt).

       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
       Debian GNU/Linux	maintainer for QuantLib.

QuantLib			  04 May 2002		   BERMUDANSWAPTION(1)

NAME | SYNOPSIS | DESCRIPTION | SEE ALSO | AUTHORS

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