BERMUDANSWAPTION(1)

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version 1.43 · 2 versions
  • 1.43 · debian bookworm, debian trixie, fedora 43, fedora 44, ubuntu noble, ubuntu questing, ubuntu resolute, ubuntu stonking (latest)
  • 1.25 · ubuntu jammy
, in debian bookworm, debian trixie, fedora 43, fedora 44, ubuntu noble, ubuntu questing, ubuntu resolute, ubuntu stonking

✨ BERMUDANSWAPTION ✨ 🎀

Okay so bestie, the manual name here is BermudanSwaption 💖, and it's giving example of using QuantLib 🦋. Main character energy, no cap.

🌸 NAME 🌸

BermudanSwaption — an example of using QuantLib 💅

🧚 SYNOPSIS 🧚

BermudanSwaption

💜 DESCRIPTION 💜

BermudanSwaption is literally an example of using the QuantLib interest-rate model framework ✨. Obsessed.

Okay so the big thing it does is price a bermudan swaption 🔥. It does this using different models that have been calibrated to market swaptions 📈. The calibration examples include Hull and White's model, done both with an analytic formula and numerically 🧮, plus Black and Karasinski's model 🫶. Using these three calibrations, bermudan swaptions get priced for at-the-money, out-of-the-money, and in-the-money volatilities 💀. It's giving full coverage, ngl.

👑 SEE ALSO 👑

The source code BermudanSwaption.cpp 💅, plus these besties: Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), and Repo(1) 🌈. Also the QuantLib documentation and website at https://www.quantlib.org 🦋. Iykyk.

🎀 AUTHORS 🎀

The QuantLib Group, see Contributors.txt 💖. The manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib 🫶. Literal legends.

Source: QuantLib, 04 May 2002, BERMUDANSWAPTION(1) 🌸 Bye bestie, go be iconic 💅✨

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