SwaptionHelper Class Reference
calibration helper for ATM swaption More...
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
Inheritance diagram for SwaptionHelper:

Public Member Functions | |
| SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError) | |
| virtual void | addTimesTo (std::list< Time > ×) const |
| virtual Real | modelValue () const |
| returns the price of the instrument according to the model | |
| virtual Real | blackPrice (Volatility volatility) const |
| Black price given a volatility. | |
Detailed Description
calibration helper for ATM swaption
- Bug:
- This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM exercise rate is not recalculated when any of its observables change.
- Examples: