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SwaptionData Struct Reference

#include <LiborCalibrator.h>

List of all members.


Detailed Description

Accrual interval (given by p,q), strike and analytic forward swaption price.

Definition at line 111 of file LiborCalibrator.h.

Public Member Functions

 SwaptionData ()

Public Attributes

int p
int q
Real strike
Real forwardPrice
Real calibratedForwardPrice
Real error


Constructor & Destructor Documentation

SwaptionData::SwaptionData   [inline]
 

All fields intialized with 0.

Definition at line 117 of file LiborCalibrator.h.


Member Data Documentation

int SwaptionData::p
 

Definition at line 113 of file LiborCalibrator.h.

int SwaptionData::q
 

Definition at line 113 of file LiborCalibrator.h.

Real SwaptionData::strike
 

Definition at line 114 of file LiborCalibrator.h.

Real SwaptionData::forwardPrice
 

Definition at line 114 of file LiborCalibrator.h.

Real SwaptionData::calibratedForwardPrice
 

Definition at line 114 of file LiborCalibrator.h.

Real SwaptionData::error
 

Definition at line 114 of file LiborCalibrator.h.


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