QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | List of all members
Gaussian1dNonstandardSwaptionEngine Class Reference

One factor model non standard swaption engine. More...

#include <ql/experimental/models/gaussian1dnonstandardswaptionengine.hpp>

+ Inheritance diagram for Gaussian1dNonstandardSwaptionEngine:

Public Member Functions

 Gaussian1dNonstandardSwaptionEngine (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< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results >
 GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >())
 
 GenericModelEngine (const boost::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 Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- 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 ()
 

Protected Member Functions

const Real underlyingNpv (const Date &expiry, const Real y) const
 
const VanillaSwap::Type underlyingType () const
 
const Date underlyingLastDate () const
 
const Disposable< ArrayinitialGuess (const Date &expiry) const
 

Additional Inherited Members

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

Detailed Description

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.

Warning:
Cash settled swaptions are not supported