GenericSwaption Class Reference

Swaption class with QuantLib::Swap underlying More...

#include <qle/instruments/genericswaption.hpp>

Inheritance diagram for GenericSwaption:

Collaboration diagram for GenericSwaption:

Classes
class	arguments
	Arguments for swaption calculation More...
class	engine
	base class for swaption engines More...
class	results
	Results from CDS-option calculation More...

Public Member Functions
	GenericSwaption (const ext::shared_ptr< QuantLib::Swap > &swap, const ext::shared_ptr< Exercise > &exercise, QuantLib::Settlement::Type delivery=QuantLib::Settlement::Physical, QuantLib::Settlement::Method settlementMethod=QuantLib::Settlement::PhysicalOTC)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Inspectors
ext::shared_ptr< QuantLib::Swap >	swap_
QuantLib::Settlement::Type	settlementType_
QuantLib::Settlement::Method	settlementMethod_
Real	underlyingValue_
Settlement::Type	settlementType () const
Settlement::Method	settlementMethod () const
const ext::shared_ptr< QuantLib::Swap > &	underlyingSwap () const
Real	underlyingValue () const
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

Swaption class with QuantLib::Swap underlying

Definition at line 38 of file genericswaption.hpp.

Constructor & Destructor Documentation

GenericSwaption()

GenericSwaption	(	const ext::shared_ptr< QuantLib::Swap > &	swap,
		const ext::shared_ptr< Exercise > &	exercise,
		QuantLib::Settlement::Type	delivery = QuantLib::Settlement::Physical,
		QuantLib::Settlement::Method	settlementMethod = QuantLib::Settlement::PhysicalOTC
	)

Definition at line 26 of file genericswaption.cpp.

    : Option(ext::shared_ptr<Payoff>(), exercise), swap_(swap), settlementType_(delivery),
      settlementMethod_(settlementMethod) {
    registerWith(swap_);
    swap_->alwaysForwardNotifications();
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 34 of file genericswaption.cpp.

{ return detail::simple_event(exercise_->dates().back()).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 36 of file genericswaption.cpp.

                                                                       {
    swap_->setupArguments(args);
    Option::setupArguments(args);
 
    GenericSwaption::arguments* arguments = dynamic_cast<GenericSwaption::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->swap = swap_;
    arguments->settlementType = settlementType_;
    arguments->settlementMethod = settlementMethod_;
    arguments->exercise = exercise_;
}

settlementType()

Settlement::Type settlementType

(

)

const

Definition at line 53 of file genericswaption.hpp.

{ return settlementType_; }

Here is the caller graph for this function:

settlementMethod()

Settlement::Method settlementMethod

(

)

const

Definition at line 54 of file genericswaption.hpp.

{ return settlementMethod_; }

Here is the caller graph for this function:

underlyingSwap()

const ext::shared_ptr< QuantLib::Swap > & underlyingSwap

(

)

const

Definition at line 55 of file genericswaption.hpp.

{ return swap_; }

underlyingValue()

Real underlyingValue

(

)

const

Definition at line 56 of file genericswaption.hpp.

{ return underlyingValue_; }

fetchResults()

void fetchResults ( const PricingEngine::results *  r ) const

overrideprivate

Definition at line 50 of file genericswaption.cpp.

                                                                      {
    Option::fetchResults(r);
    const GenericSwaption::results* results = dynamic_cast<const GenericSwaption::results*>(r);
    QL_ENSURE(results != 0, "wrong results type");
    underlyingValue_ = results->underlyingValue;
}

Member Data Documentation

swap_

ext::shared_ptr<QuantLib::Swap> swap_

private

Definition at line 61 of file genericswaption.hpp.

settlementType_

QuantLib::Settlement::Type settlementType_

private

Definition at line 62 of file genericswaption.hpp.

settlementMethod_

QuantLib::Settlement::Method settlementMethod_

private

Definition at line 63 of file genericswaption.hpp.

underlyingValue_

Real underlyingValue_

mutableprivate

Definition at line 64 of file genericswaption.hpp.