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Each of the swaption functions has a function name of oIRswpn followed by one of the following suffixes: |
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Function Suffix |
Description |
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_Price |
Calculates the fair value and greeks of the swaption. |
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_Map |
Returns the required inputs for the oIRSwpn_Price( ) and oIRSwpn_IV( ) functions, as a table consisting of three columns; Notional, tenor, and Discount Factor. |
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_IV |
Calculates the implied volatility of the swaption. |
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_BDT1 |
Uses the Black-Derman-Toy model |
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_BDT2 |
Uses the Black-Derman-Toy model |
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_HL |
Uses the Ho and Lee model |
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_HW |
Uses the Hull and White model |
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_BK |
Uses the Black and Karansinski model |
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In This Section |
Copyright © 2005 Resolution Financial Software.