Gaussian1dFloatFloatSwaptionEngine Class Reference

One factor model float float swaption engine. More...

#include <ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp>

Inheritance diagram for Gaussian1dFloatFloatSwaptionEngine:

Public Types
enum	Probabilities { None , Naive , Digital }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	Gaussian1dFloatFloatSwaptionEngine (const ext::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 bool includeTodaysExercise=false, const Probabilities probabilities=None)
	Gaussian1dFloatFloatSwaptionEngine (const Handle< 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 bool includeTodaysExercise=false, const Probabilities probabilities=None)
void	calculate () const override
Handle< YieldTermStructure >	discountingCurve () const
Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
	GenericModelEngine (Handle< Gaussian1dModel > model=Handle< Gaussian1dModel >())
Public Member Functions inherited from GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::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 ()

Protected Member Functions
Real	underlyingNpv (const Date &expiry, Real y) const override
Swap::Type	underlyingType () const override
const Date	underlyingLastDate () const override
const Array	initialGuess (const Date &expiry) const override

Additional Inherited Members
Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
Handle< Gaussian1dModel >	model_
Protected Attributes inherited from GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >
FloatFloatSwaption::arguments	arguments_
FloatFloatSwaption::results	results_

Detailed Description

One factor model float float swaption engine.

All float coupons with fixing date greater or equal the respective option expiry are considered part of the exercise into right. Note that this is different from the usual accrual start date greater or equal exercise date if the fixing lag is strictly greater than the exercise lag (which should be a rare case). For the redepmtion flows the criterion is that the associated start date of the redemption flow (i.e. the start date of the regular coupon period with same payment date as the redemption flow) is greater or equal the exercise date.

The addtional result underlyingValue is the npv of the underlying (as seen from "today") including all fixings greater (or greater equal depending on includeTodaysExercise) today.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.