BlackSwaptionEngineDeltaGamma Class Reference

Shifted Lognormal Black-formula swaption engine. More...

#include <qle/pricingengines/blackswaptionenginedeltagamma.hpp>

Inheritance diagram for BlackSwaptionEngineDeltaGamma:

Collaboration diagram for BlackSwaptionEngineDeltaGamma:

Public Member Functions
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
Public Member Functions inherited from BlackStyleSwaptionEngineDeltaGamma< detail::Black76Spec >
	BlackStyleSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackStyleSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackStyleSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
void	calculate () const override
Handle< YieldTermStructure >	termStructure ()
Handle< SwaptionVolatilityStructure >	volatility ()

Detailed Description

Shifted Lognormal Black-formula swaption engine.

Warning:

The engine assumes that the exercise date equals the start date of the passed swap.

Definition at line 184 of file blackswaptionenginedeltagamma.hpp.

Constructor & Destructor Documentation

BlackSwaptionEngineDeltaGamma() [1/3]

BlackSwaptionEngineDeltaGamma	(	const Handle< YieldTermStructure > &	discountCurve,
		Volatility	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0,
		const std::vector< Time > &	bucketTimesDeltaGamma = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaOpt = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaUnd = std::vector<Time>(),
		const bool	computeDeltaVega = false,
		const bool	computeGamma = false,
		const bool	linearInZero = true
	)

Definition at line 23 of file blackswaptionenginedeltagamma.cpp.

    : detail::BlackStyleSwaptionEngineDeltaGamma<detail::Black76Spec>(
          discountCurve, vol, dc, displacement, bucketTimesDeltaGamma, bucketTimesVegaOpt, bucketTimesVegaUnd,
          computeDeltaVega, computeGamma, linearInZero) {}

BlackSwaptionEngineDeltaGamma() [2/3]

BlackSwaptionEngineDeltaGamma	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< Quote > &	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0,
		const std::vector< Time > &	bucketTimesDeltaGamma = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaOpt = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaUnd = std::vector<Time>(),
		const bool	computeDeltaVega = false,
		const bool	computeGamma = false,
		const bool	linearInZero = true
	)

Definition at line 34 of file blackswaptionenginedeltagamma.cpp.

    : detail::BlackStyleSwaptionEngineDeltaGamma<detail::Black76Spec>(
          discountCurve, vol, dc, displacement, bucketTimesDeltaGamma, bucketTimesVegaOpt, bucketTimesVegaUnd,
          computeDeltaVega, computeGamma, linearInZero) {}

BlackSwaptionEngineDeltaGamma() [3/3]

BlackSwaptionEngineDeltaGamma	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< SwaptionVolatilityStructure > &	vol,
		const std::vector< Time > &	bucketTimesDeltaGamma = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaOpt = std::vector<Time>(),
		const std::vector< Time > &	bucketTimesVegaUnd = std::vector<Time>(),
		const bool	computeDeltaVega = false,
		const bool	computeGamma = false,
		const bool	linearInZero = true
	)

Definition at line 43 of file blackswaptionenginedeltagamma.cpp.

    : detail::BlackStyleSwaptionEngineDeltaGamma<detail::Black76Spec>(discountCurve, vol, bucketTimesDeltaGamma,
                                                                      bucketTimesVegaOpt, bucketTimesVegaUnd,
                                                                      computeDeltaVega, computeGamma, linearInZero) {
    QL_REQUIRE(vol->volatilityType() == ShiftedLognormal,
               "BlackSwaptionEngineDeltaGamma requires (shifted) lognormal input "
               "volatility");
}