Class SwaptionPrice

  extended byExamples.Pricing.SwaptionPrice

public class SwaptionPrice
extends java.lang.Object

Bermudan Swaption. Limited functionality. Intended to support some experiments. The underlying swap is assumed to end at the terminal date of the underlying Libor process.

Computes the prices of a complete set of coterminal European swaptions with semiannual accrual terminating 20 years in the future (n=40). The prices two Bermudan swaptions ending at the same date but with different starting dates.

Constructor Summary
Method Summary
static void main(java.lang.String[] args)
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail


public SwaptionPrice()
Method Detail


public static void main(java.lang.String[] args)