BermudanSwaption - Example of using QuantLib

       The QuantLib Group (see Contributors.txt).

       This  manual  page  was  added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for
       QuantLib.

QuantLib                                           04 May 2002                               BERMUDANSWAPTION(1)

BermudanSwaption is an example of using the QuantLib interest-rate model framework.

       BermudanSwaption  prices  a  bermudan swaption using different models calibrated to market swaptions. The
       calibration examples include Hull and White's using both an analytic formula as well as numerically,  and
       Black  and  Karasinski's model. Using these three calibrations, Bermudan swaptions are priced for at-the-
       money, out-of-the-money and in-the-money volatilities.

       BermudanSwaption - Example of using QuantLib

       The  source  code  BermudanSwaption.cpp,   Bonds(1),   CallableBonds(1),   CDS(1),   ConvertibleBonds(1),
       DiscreteHedging(1),       EquityOption(1),       FittedBondCurve(1),       FRA(1),       MarketModels(1),
       MulticurveBootstrapping(1),  Replication(1),  Repo(1),  the  QuantLib  documentation   and   website   at
       https://www.quantlib.org.

BermudanSwaption