I would like to monitor network traffic for a computer on my network Post: 302997649

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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)