QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
swaption Directory Reference

Files

file  cmsmarket.hpp
 set of CMS quotes
 
file  cmsmarketcalibration.hpp
 
file  gaussian1dswaptionvolatility.hpp
 swaption volatility implied by a gaussian 1d model
 
file  spreadedswaptionvol.hpp
 Spreaded swaption volatility.
 
file  swaptionconstantvol.hpp
 Constant swaption volatility.
 
file  swaptionvolcube.hpp
 Swaption volatility cube.
 
file  swaptionvolcube1.hpp
 Swaption volatility cube, fit-early-interpolate-later approach The provided types are SwaptionVolCube1 using the classic Hagan 2002 Sabr formula SwaptionVolCube1a using the No Arbitrage Sabr model (Doust)
 
file  swaptionvolcube2.hpp
 Swaption volatility cube, fit-later-interpolate-early approach.
 
file  swaptionvoldiscrete.hpp
 Discretized swaption volatility.
 
file  swaptionvolmatrix.hpp
 Swaption at-the-money volatility matrix.
 
file  swaptionvolstructure.hpp
 Swaption volatility structure.