One factor model swaption engine. More...
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
Inheritance diagram for Gaussian1dSwaptionEngine:Public Types | |
| enum | Probabilities { None, Naive, Digital } |
Public Member Functions | |
| Gaussian1dSwaptionEngine (const boost::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > | |
| GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >()) | |
| GenericModelEngine (const boost::shared_ptr< Gaussian1dModel > &model) | |
Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
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< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > | |
| Handle< Gaussian1dModel > | model_ |
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results > | |
| Swaption::arguments | arguments_ |
| Swaption::results | results_ |
One factor model swaption engine.
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