Gaussian1dNonstandardSwaptionEngine Class Reference

One factor model non standard swaption engine. More...

#include <ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp>

Inheritance diagram for Gaussian1dNonstandardSwaptionEngine:

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

Public Member Functions
	Gaussian1dNonstandardSwaptionEngine (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 Probabilities probabilities=None)
	Gaussian1dNonstandardSwaptionEngine (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 Probabilities probabilities=None)
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results >
	GenericModelEngine (Handle< Gaussian1dModel > model=Handle< Gaussian1dModel >())
Public Member Functions inherited from GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::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, NonstandardSwaption::arguments, NonstandardSwaption::results >
Handle< Gaussian1dModel >	model_
Protected Attributes inherited from GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >
NonstandardSwaption::arguments	arguments_
NonstandardSwaption::results	results_

Detailed Description

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.

Warning

Cash settled swaptions are not supported

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.