G2SwaptionEngine Class Reference

Swaption priced by means of the Black formula More...

#include <ql/pricingengines/swaption/g2swaptionengine.hpp>

Inheritance diagram for G2SwaptionEngine:

Public Member Functions
	G2SwaptionEngine (const ext::shared_ptr< G2 > &model, Real range, Size intervals)
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
	GenericModelEngine (Handle< G2 > model=Handle< G2 >())
Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
Handle< G2 >	model_
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Swaption priced by means of the Black formula

Warning

The engine assumes that the exercise date equals the start date of the passed swap.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.