Swaptions-class: Swaptions

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

An S4 class to represent ATM swaptions for calibration of a G2++ model.

Usage

## S4 method for signature 'Swaptions,missing'
plot(x, y)

## S4 method for signature 'Swaptions'
print(x)

## S4 method for signature 'Swaptions'
show(object)

Arguments

x	the Swaptions object to plot
y	classical plot parameters. Useless here.
object	the Swaptions object to show

Methods (by generic)

• plot: plot method for Swaptions

• print: print method for Swaptions

• show: show method for Swaptions

Slots

type

Character. Type of volatility:

• "normal".

• "lognormal". Default value

curve

ZCCurve. Zero coupon curve to use for pricing.

mat

Vector. List of maturities.

tenor

Vector. List of tenors.

vol

Vector. List of volatilities corresponding to maturities and tenors.

freq

Numeric. Number of payments by period.

price

Vector. Swaptions prices.

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.