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BermudanSwaption - Online in the Cloud

Run BermudanSwaption in OnWorks free hosting provider over Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator

This is the command BermudanSwaption that can be run in the OnWorks free hosting provider using one of our multiple free online workstations such as Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator

PROGRAM:

NAME


BermudanSwaption - Example of using QuantLib

SYNOPSIS


BermudanSwaption

DESCRIPTION


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.

Use BermudanSwaption online using onworks.net services


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