QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | List of all members
Gaussian1dFloatFloatSwaptionEngine Class Reference

One factor model float float swaption engine. More...

#include <ql/experimental/models/gaussian1dfloatfloatswaptionengine.hpp>

+ Inheritance diagram for Gaussian1dFloatFloatSwaptionEngine:

Public Member Functions

 Gaussian1dFloatFloatSwaptionEngine (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 >(), const bool includeTodaysExercise=false)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
 GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >())
 
 GenericModelEngine (const boost::shared_ptr< Gaussian1dModel > &model)
 
- Public Member Functions inherited from GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::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, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
Handle< Gaussian1dModelmodel_
 
- Protected Attributes inherited from GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >
FloatFloatSwaption::arguments arguments_
 
FloatFloatSwaption::results results_
 

Detailed Description

One factor model float float swaption engine.

All float coupons with fixing date greater or equal the respective option expiry are considered part of the exercise into right. Note that this is different from the usual accrual start date greater or equal exercise date if the fixing lag is strictly greater than the exercise lag (which should be a rare case). For the redepmtion flows the criterion is that the associated start date of the redemption flow (i.e. the start date of the regular coupon period with same payment date as the redemption flow) is greater or equal the exercise date.

The addtional result underlyingValue is the npv of the underlying (as seen from "today") including all fixings greater (or greater equal depending on includeTodaysExercise) today.