BermudanSwaption1
Example of using quantlib
Usage
BermudanSwaption
Overview
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, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-money volatilities.
Releases
11 releases since Debian 3.1 (Sarge); the text changed 4 times.