NAME¶

SwapValuation - Example of using QuantLib

SYNOPSIS¶

SwapValuation

DESCRIPTION¶

SwapValuation is an example of using QuantLib.

It prices an Interest Rate Swap over a term structure and calculates its fair fixed rate and floating spread.

SEE ALSO¶

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

AUTHORS¶

The QuantLib Group (see Contributors.txt).

This manual page was added by Luigi Ballabio <ballabio@mac.com> .