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BermudanSwaption Class Reference

#include <BermudanOption.h>

Inheritance diagram for BermudanSwaption:

LiborDerivative Option List of all members.

Detailed Description

Bermudan payer swaption on . Exercise is possible at each Libor reset date . No analytic pricing formula. We use the exercise trigger described in P. Jaeckel, "Monte Carlo Methods in Finance", 12.7. This trigger is much faster than general convex exercise (book, 4.6.3) and produces slightly better results. No control variate is implemented.

Definition at line 63 of file BermudanOption.h.

Public Member Functions

Real getStrike ()
bool isExercisable (Real t)
 BermudanSwaption (int p_, int q_, int paths, Real strike, LiborMarketModel *lmm, bool verbose=false)
Real nextForwardPayoff ()
Real currentForwardPayoff (int s)
Real forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s)
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

BermudanSwaption * sample (int p, int q, int paths, bool verbose=false, int lmmType=0, int volType=2, int corrType=1)

Friends

class PjTrigger

Constructor & Destructor Documentation

BermudanSwaption::BermudanSwaption (  int    p_,
int    q_,
int    paths,
Real    strike,
LiborMarketModel *    lmm,
bool    verbose = false
) 
 

Parameters:
p_,q_ period of swap .
paths number of training paths for the exercise trigger.
strike strike rate.
lmm underlying Libor market model.
verbose messages during trigger optimization

Member Function Documentation

Real BermudanSwaption::getStrike (    )  [inline]
 

The srike rate.

Definition at line 75 of file BermudanOption.h.

References Real.

bool BermudanSwaption::isExercisable (  Real    t )  [virtual]
 

Wether or not the option can be exercised at continuous time t.

Reimplemented from Option.

BermudanSwaption* BermudanSwaption::sample (  int    p,
int    q,
int    paths,
bool    verbose = false,
int    lmmType = 0,
int    volType = 2,
int    corrType = 1
)  [static]
 

Sample at the money Bermudan swaption.

Parameters:
p,q swap interval .
paths number of training paths for the exercise trigger.
verbose messages during trigger optimization.
lmmType type of Libor market model: LiborMarketModel::DL, PC, FPC
volType type of volatility surface, VolSurface::CONST, JR, M.
corrType type of correlations, Correlations::CS, JR.

Real BermudanSwaption::nextForwardPayoff (    )  [virtual]
 

Next random sample of the swaption payoff (resulting from the exercise strategy implemented by the trigger) compounded forward to time .

Reimplemented from Option.

Real BermudanSwaption::currentForwardPayoff (  int    s ) 
 

Swaption payoff if exercised at time in the current Libor path compounded forward to time .

Real BermudanSwaption::forwardPayoff (  StandardBrownianNode *    node,
LmmLattice *    theLattice,
int    s
)  [virtual]
 

Payoff at node compounded forward to time . Specialization overrides base class template.

Parameters:
s irrelevant here.

Reimplemented from LiborDerivative.

std::ostream& BermudanSwaption::printSelf (  std::ostream &    os )  const [virtual]
 

Message identifying the derivative.

Reimplemented from LiborDerivative.

Friends And Related Function Documentation

friend class PjTrigger [friend]
 

Definition at line 70 of file BermudanOption.h.

The documentation for this class was generated from the following file:
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