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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_swaption.html">Swaption</a></div>
<h1>Swaption Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::Swaption" --><!-- doxytag: inherits="QuantLib::Option" --><code>#include <ql/instruments/swaption.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Swaption:</div>
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<p><center><img src="class_quant_lib_1_1_swaption__inherit__graph.png" border="0" usemap="#_swaption__inherit__map" alt="Inheritance graph"></center>
<map name="_swaption__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_option.html" title="base option class" alt="" coords="13,7,77,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_swaption-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Swaption class
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000011">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.</li><li>the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.</li><li>the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.</li><li>the correctness of the returned value is tested by checking it against a known good value.</li><li>the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the <a class="el" href="class_quant_lib_1_1_swaption.html" title="Swaption class">Swaption</a> class.</li></ul>
</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000018">Possible enhancements:</a></b></dt><dd>add greeks and explicit exercise lag </dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_bermudan_swaption_8cpp-example.html#_a38">BermudanSwaption.cpp</a>.</dl><table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<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="9f431caee823ea28cf76b5cb5b710621"></a><!-- doxytag: member="QuantLib::Swaption::Swaption" ref="9f431caee823ea28cf76b5cb5b710621" args="(const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical)" -->
</td><td class="memItemRight" valign="bottom"><b>Swaption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> > &swap, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > &exercise, Settlement::Type delivery=Settlement::Physical)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02afbb4969289965994376bb305512dc"></a><!-- doxytag: member="QuantLib::Swaption::impliedVolatility" ref="02afbb4969289965994376bb305512dc" args="(Real price, const Handle< YieldTermStructure > &termStructure, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#02afbb4969289965994376bb305512dc">impliedVolatility</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price, 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, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">implied volatility <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba1526ce2bda378e4ef2465f8e447763"></a><!-- doxytag: member="QuantLib::Swaption::atmRate" ref="ba1526ce2bda378e4ef2465f8e447763" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>atmRate</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::Swaption::isExpired" ref="274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bed8ca991653367ff67724dbd2f48b44"></a><!-- doxytag: member="QuantLib::Swaption::settlementType" ref="bed8ca991653367ff67724dbd2f48b44" args="() const " -->
Settlement::Type </td><td class="memItemRight" valign="bottom"><b>settlementType</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c43c125cbe618e28e22e6d9328456bbb"></a><!-- doxytag: member="QuantLib::Swaption::type" ref="c43c125cbe618e28e22e6d9328456bbb" args="() const " -->
VanillaSwap::Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e5390ef3790f7cb05b6c2d7fd1cbd389"></a><!-- doxytag: member="QuantLib::Swaption::underlyingSwap" ref="e5390ef3790f7cb05b6c2d7fd1cbd389" args="() const " -->
const boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> > & </td><td class="memItemRight" valign="bottom"><b>underlyingSwap</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for swaption calculation <a href="class_quant_lib_1_1_swaption_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption_1_1engine.html">engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">base class for swaption engines <a href="class_quant_lib_1_1_swaption_1_1engine.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::Swaption::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
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<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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 <a class="el" href="class_quant_lib_1_1_swaption_1_1engine.html" title="base class for swaption engines">engine</a> is used.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
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