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Operating Systems
Solaris
Time out in Solaris
Post 302386007 by Celtic_Monkey on Monday 11th of January 2010 04:19:03 AM
01-11-2010
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bermudanswaption
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 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, Bermu- dan 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), Fitted- BondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org. AUTHORS
The QuantLib Group (see Authors.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)