QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Types | Public Member Functions | List of all members
Gaussian1dSwaptionEngine Class Reference

One factor model swaption engine. More...

#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>

+ Inheritance diagram for Gaussian1dSwaptionEngine:

Public Types

enum  Probabilities { None, Naive, Digital }
 
- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >
Handle< Gaussian1dModelmodel_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

One factor model 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.

Warning:
Cash settled swaptions are not supported