Provided by: quantlib-examples_1.1-2build1_amd64 bug

NAME

       BermudanSwaption - Example of using QuantLib

SYNOPSIS

       BermudanSwaption

DESCRIPTION

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

       BermudanSwaption  prices  a  bermudan swaption using different models calibrated to market
       swaptions. The calibration examples include  Hull  and  White's  using  both  an  analytic
       formula  as  well  as  numerically,  and  Black  and Karasinski's model. Using these three
       calibrations, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-
       money volatilities.

SEE ALSO

       The    source    code    BermudanSwaption.cpp,    Bonds(1),    CallableBonds(1),   CDS(1),
       ConvertibleBonds(1),  DiscreteHedging(1),  EquityOption(1),  FittedBondCurve(1),   FRA(1),
       MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and
       website at http://quantlib.org.

AUTHORS

       The QuantLib Group (see Authors.txt).

       This manual page was added by Dirk Eddelbuettel  <edd@debian.org>,  the  Debian  GNU/Linux
       maintainer for QuantLib.