1BERMUDANSWAPTION(1)         General Commands Manual        BERMUDANSWAPTION(1)
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NAME

6       BermudanSwaption - Example of using QuantLib
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SYNOPSIS

9       BermudanSwaption
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DESCRIPTION

12       BermudanSwaption  is  an  example  of  using the QuantLib interest-rate
13       model framework.
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15       BermudanSwaption prices a bermudan swaption using different models cal‐
16       ibrated  to market swaptions. The calibration examples include Hull and
17       White's using both an analytic formula  as  well  as  numerically,  and
18       Black  and Karasinski's model. Using these three calibrations, Bermudan
19       swaptions are priced for  at-the-money,  out-of-the-money  and  in-the-
20       money volatilities.
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SEE ALSO

23       The   source  code  BermudanSwaption.cpp,  Bonds(1),  CallableBonds(1),
24       CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1),  Fit‐
25       tedBondCurve(1),  FRA(1),  MarketModels(1), MulticurveBootstrapping(1),
26       Replication(1), Repo(1), the  QuantLib  documentation  and  website  at
27       https://www.quantlib.org.
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AUTHORS

31       The QuantLib Group (see Contributors.txt).
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33       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
34       Debian GNU/Linux maintainer for QuantLib.
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38QuantLib                          04 May 2002              BERMUDANSWAPTION(1)