JamshidianSwaptionEngine Class Reference

Jamshidian swaption engine. More...

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

Inheritance diagram for JamshidianSwaptionEngine:

Public Member Functions
	JamshidianSwaptionEngine (const ext::shared_ptr< OneFactorAffineModel > &model, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
	GenericModelEngine (Handle< OneFactorAffineModel > model=Handle< OneFactorAffineModel >())
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< OneFactorAffineModel, Swaption::arguments, Swaption::results >
Handle< OneFactorAffineModel >	model_
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Jamshidian swaption engine.

Warning

The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay

Constructor & Destructor Documentation

JamshidianSwaptionEngine()

JamshidianSwaptionEngine	(	const ext::shared_ptr< OneFactorAffineModel > &	model,
		Handle< YieldTermStructure >	termStructure = Handle<YieldTermStructure>() )

Note

the term structure is only needed when the short-rate model cannot provide one itself.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.