- QuantLib
- Swaption
Swaption class More...
#include <ql/instruments/swaption.hpp>

Classes | |
| class | arguments |
| Arguments for swaption calculation More... | |
| class | engine |
| base class for swaption engines More... | |
Public Member Functions | |
| Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) | |
| Volatility | impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
| implied volatility | |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
| Settlement::Type | settlementType () const |
| VanillaSwap::Type | type () const |
|
const boost::shared_ptr < VanillaSwap > & | underlyingSwap () const |
Swaption class
| void setupArguments | ( | PricingEngine::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 Option.