Swaption Class Reference

Swaption class More...

#include <ql/instruments/swaption.hpp>

Inheritance diagram for Swaption:

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, Real displacement=0.0) 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
Public Member Functions inherited from Option
	Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void	setupArguments (PricingEngine::arguments *) const
boost::shared_ptr< Payoff >	payoff ()
boost::shared_ptr< Exercise >	exercise ()
Public Member Functions inherited from Instrument
virtual void	fetchResults (const PricingEngine::results *) const
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const boost::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1, Call = 1 }
Protected Member Functions inherited from Instrument
void	calculate () const
virtual void	setupExpired () const
virtual void	performCalculations () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Option
boost::shared_ptr< Payoff >	payoff_
boost::shared_ptr< Exercise >	exercise_
Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngine >	engine_
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Swaption class

Tests:

• the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
• the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
• the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
• the correctness of the returned value is tested by checking it against a known good value.
• the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the Swaption class.

Examples:

BermudanSwaption.cpp.

Member Function Documentation

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 Instrument.