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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_swaption_helper.html">SwaptionHelper</a></div>
<h1>SwaptionHelper Class Reference</h1><!-- doxytag: class="QuantLib::SwaptionHelper" --><!-- doxytag: inherits="QuantLib::CalibrationHelper" --><code>#include <ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp></code>
<p>
Inheritance diagram for SwaptionHelper:<p><center><img src="class_quant_lib_1_1_swaption_helper__inherit__graph.png" border="0" usemap="#_swaption_helper__inherit__map" alt="Inheritance graph"></center>
<map name="_swaption_helper__inherit__map">
<area href="class_quant_lib_1_1_calibration_helper.html" shape="rect" coords="35,82,173,106" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="5,7,88,31" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_swaption_helper-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
calibration helper for ATM swaption <dl compact><dt><b>Examples: </b></dt><dd>
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<a class="el" href="_bermudan_swaption_8cpp-example.html#_a27">BermudanSwaption.cpp</a>.</dl>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e14b86c7acf3c4c142a9efb9038fb84"></a><!-- doxytag: member="QuantLib::SwaptionHelper::SwaptionHelper" ref="6e14b86c7acf3c4c142a9efb9038fb84" args="(const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< Xibor > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false)" -->
</td><td class="memItemRight" valign="bottom"><b>SwaptionHelper</b> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &maturity, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &length, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &volatility, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &index, <a class="el" href="group__datetime.html#g6d41db8ba0ea90d22df35889df452ada">Frequency</a> fixedLegFrequency, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedLegDayCounter, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatingLegDayCounter, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, bool calibrateVolatility=false)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e555d4f8f2dda7c785831d5f9156dbc8"></a><!-- doxytag: member="QuantLib::SwaptionHelper::SwaptionHelper" ref="e555d4f8f2dda7c785831d5f9156dbc8" args="(const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< Xibor > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false)" -->
</td><td class="memItemRight" valign="bottom"><b>SwaptionHelper</b> (const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &maturity, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &length, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &volatility, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &index, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &fixedLegTenor, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedLegDayCounter, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatingLegDayCounter, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, bool calibrateVolatility=false)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e671359d3aac4c1ea7e32d2658572e51"></a><!-- doxytag: member="QuantLib::SwaptionHelper::addTimesTo" ref="e671359d3aac4c1ea7e32d2658572e51" args="(std::list< Time > &times) const" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>addTimesTo</b> (std::list< Time > &times) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c561125f4c60e708eac2f66f1d5e0e2b"></a><!-- doxytag: member="QuantLib::SwaptionHelper::modelValue" ref="c561125f4c60e708eac2f66f1d5e0e2b" args="() const" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_helper.html#c561125f4c60e708eac2f66f1d5e0e2b">modelValue</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the price of the instrument according to the model <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="31d19869f6127bca922ca70f43ee4c99"></a><!-- doxytag: member="QuantLib::SwaptionHelper::blackPrice" ref="31d19869f6127bca922ca70f43ee4c99" args="(Volatility volatility) const" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_helper.html#31d19869f6127bca922ca70f43ee4c99">blackPrice</a> (Volatility volatility) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Black price given a volatility. <br></td></tr>
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