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 boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| 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 |
Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | |
| GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >()) | |
| GenericModelEngine (const ext::shared_ptr< Gaussian1dModel > &model) | |
Public Member Functions inherited from GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| 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 |
| VanillaSwap::Type | underlyingType () const |
| const Date | underlyingLastDate () const |
| const Disposable< Array > | initialGuess (const Date &expiry) const |
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_ |
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.