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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_swaption.html">Swaption</a> </li>
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<a href="#nested-classes">Classes</a> |
<a href="#pub-methods">Public Member Functions</a> </div>
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<div class="title">Swaption Class Reference<div class="ingroups"><a class="el" href="group__instruments.html">Financial instruments</a></div></div> </div>
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<!-- doxytag: class="QuantLib::Swaption" --><!-- doxytag: inherits="QuantLib::Option" -->
<p>Swaption class
<a href="class_quant_lib_1_1_swaption.html#details">More...</a></p>
<p><code>#include <ql/instruments/swaption.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Swaption:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_swaption__inherit__graph.png" border="0" usemap="#_swaption_inherit__map" alt="Inheritance graph"/></div>
<map name="_swaption_inherit__map" id="_swaption_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_option.html" title="base option class" alt="" coords="13,6,72,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_swaption-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9f431caee823ea28cf76b5cb5b710621"></a><!-- doxytag: member="QuantLib::Swaption::Swaption" ref="a9f431caee823ea28cf76b5cb5b710621" 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" align="right" valign="top"><a class="anchor" id="a12c73741c1de5bc4661bffb85aa8a258"></a><!-- doxytag: member="QuantLib::Swaption::impliedVolatility" ref="a12c73741c1de5bc4661bffb85aa8a258" args="(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 " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#a12c73741c1de5bc4661bffb85aa8a258">impliedVolatility</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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> > &discountCurve, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> guess, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Natural 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 colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::Swaption::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#a274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abed8ca991653367ff67724dbd2f48b44"></a><!-- doxytag: member="QuantLib::Swaption::settlementType" ref="abed8ca991653367ff67724dbd2f48b44" args="() const " -->
Settlement::Type </td><td class="memItemRight" valign="bottom"><b>settlementType</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac43c125cbe618e28e22e6d9328456bbb"></a><!-- doxytag: member="QuantLib::Swaption::type" ref="ac43c125cbe618e28e22e6d9328456bbb" args="() const " -->
VanillaSwap::Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae5390ef3790f7cb05b6c2d7fd1cbd389"></a><!-- doxytag: member="QuantLib::Swaption::underlyingSwap" ref="ae5390ef3790f7cb05b6c2d7fd1cbd389" args="() const " -->
const boost::shared_ptr<br class="typebreak"/>
< <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>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Swaption class </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000021">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 class="todo"><dt><b><a class="el" href="todo.html#_todo000029">Possible enhancements:</a></b></dt><dd>add greeks and explicit exercise lag </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a40">BermudanSwaption.cpp</a>.</dd>
</dl></div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="aad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::Swaption::setupArguments" ref="aad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_swaption.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> 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 engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
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