Method | Description | |
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SwaptionHelper ( volatility, |
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addTimesTo ( List |
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blackPrice ( double sigma ) : double | ||
modelValue ( ) : double |
public SwaptionHelper ( volatility, |
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maturity | ||
length | ||
volatility | Handle |
|
index | ||
fixedLegTenor | ||
fixedLegDayCounter | DayCounter | |
floatingLegDayCounter | DayCounter | |
termStructure | Handle |
|
calibrateVolatility | bool | |
return | System |