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Swaption Class Reference

#include <Option.h>

Inheritance diagram for Swaption:

LiborDerivative Option List of all members.

Detailed Description

The payer swaption with strike rate exercisable at time pays off at time . Here and are the annuity and swap rate along as usual. It is based on a LiborMarketModel.

Definition at line 393 of file Option.h.

Public Member Functions

 Swaption (int p, int q, int t, Real strike, LiborMarketModel *lmm)
Real nextForwardPayoff ()
Real controlVariateMean ()
const RealArray1D nextControlledForwardPayoff ()
Real forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s)
Real analyticForwardPrice () const
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

Swaption * sample (int p, int q, int lmmType=0, int volType=2, int corrType=1)


Constructor & Destructor Documentation

Swaption::Swaption int    p,
int    q,
int    t,
Real    strike,
LiborMarketModel   lmm
 

The payer swaption with strike rate exercisable at time .

Parameters:
p,q period of swap .
strike strike rate.
t swaption exercises at time .
lmm underlying Libor market model.


Member Function Documentation

Swaption* Swaption::sample int    p,
int    q,
int    lmmType = 0,
int    volType = 2,
int    corrType = 1
[static]
 

Sample at the money swaption with t=p.

Parameters:
p,q period of swap .
int lmmType type of Libor market model: LiborMarketModel::DL,LFDL,PC,FPC
volType type of volatility surface, VolSurface::CONST, JR, M.
corrType type of correlations, Correlations::CS, JR.

Real Swaption::nextForwardPayoff   [virtual]
 

Next random sample of the payoff payoff compounded forward from time to time .

Reimplemented from Option.

Real Swaption::controlVariateMean   [virtual]
 

Mean of the control variate. This is , see book, 6.9.2.

Reimplemented from Option.

const RealArray1D Swaption::nextControlledForwardPayoff   [virtual]
 

Vector Z with Z[0] the next forward payoff random sample and Z[1] the corresponding control variate. Return by value since it is so small.

Reimplemented from Option.

Real Swaption::forwardPayoff StandardBrownianNode   node,
LmmLattice   theLattice,
int    s
[virtual]
 

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

Parameters:
s lattice time step at which the node lives.

Reimplemented from LiborDerivative.

Real Swaption::analyticForwardPrice   const [virtual]
 

See book 6.7, 6.8.3.

Reimplemented from Option.

std::ostream& Swaption::printSelf std::ostream &    os const [virtual]
 

Message identifying the derivative.

Reimplemented from LiborDerivative.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3