Swaption Price in Hull White using Quantlib 0.9 [C++ Quantlib 0.9]

Category: Quantlib	View Full Details
Swaption Price in Hull White using Quantlib 0.9
Submitter: vanna	Date: 2008/9/19

Description: This code snippet demonstrates calculation of a European swaption price for the following specifications: Flat forward term structure of 0.05 Swap start date : 1 year Swap end date : 6 year tenor : 0.5 year Hull white parameter for mean reversion(mu) : 0.1 Hull white parameter for mean volatility(sigma) : 0.04 Strike : swap fair rate or ATM Nominal : 1000.00 Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1055 0 bytes C++ Quantlib 0.9 http://www.quantcode.com
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