- QuantLib
- Swaption
 
Swaption class More...
#include <ql/instruments/swaption.hpp>

| 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) 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 | 
Swaption class
| 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 Option.