One factor model non standard swaption engine. More...
#include <ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp>
Public Types | |
enum | Probabilities { None, Naive, Digital } |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
Gaussian1dNonstandardSwaptionEngine (const boost::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None) | |
void | calculate () const |
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GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >()) | |
GenericModelEngine (const boost::shared_ptr< Gaussian1dModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Member Functions | |
Real | underlyingNpv (const Date &expiry, const Real y) const |
VanillaSwap::Type | underlyingType () const |
const Date | underlyingLastDate () const |
const Disposable< Array > | initialGuess (const Date &expiry) const |
Additional Inherited Members | |
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Handle< Gaussian1dModel > | model_ |
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NonstandardSwaption::arguments | arguments_ |
NonstandardSwaption::results | results_ |
One factor model non standard swaption engine.
All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise into right.
All float coupons with start date greater or equal to the respective option expiry are consideres to be part of the exercise into right.
For redemption flows an associated start date is considered in the criterion, which is the start date of the regular xcoupon period with same payment date as the redemption flow.