JamshidianSwaptionEngine Class Reference

Jamshidian swaption engine. More...

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

Inheritance diagram for JamshidianSwaptionEngine:

Public Member Functions

 JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
 GenericModelEngine (const Handle< OneFactorAffineModel > &model=Handle< OneFactorAffineModel >())
 
 GenericModelEngine (const boost::shared_ptr< OneFactorAffineModel > &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 Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Friends

class rStarFinder
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
Handle< OneFactorAffineModelmodel_
 

Detailed Description

Jamshidian swaption engine.

Warning:
The engine assumes that the exercise date equals the start date of the passed swap.
Examples:
BermudanSwaption.cpp.

Constructor & Destructor Documentation

JamshidianSwaptionEngine ( const boost::shared_ptr< OneFactorAffineModel > &  model,
const Handle< YieldTermStructure > &  termStructure = Handle<YieldTermStructure>() 
)
Note
the term structure is only needed when the short-rate model cannot provide one itself.