QuantLib: a free/open-source library for quantitative finance
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floatfloatswaption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2013, 2018 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file floatfloatswaption.hpp
21 \brief floatfloatswaption class
22*/
23
24#ifndef quantlib_instruments_floatfloatswaption_hpp
25#define quantlib_instruments_floatfloatswaption_hpp
26
33
34namespace QuantLib {
35
36 //! floatfloat swaption class
37 /*! \ingroup instruments
38 */
39
40 class FloatFloatSwaption : public Option {
41 public:
42 class arguments;
43 class engine;
44 FloatFloatSwaption(ext::shared_ptr<FloatFloatSwap> swap,
45 const ext::shared_ptr<Exercise>& exercise,
48 //! \name Instrument interface
49 //@{
50 bool isExpired() const override;
51 void setupArguments(PricingEngine::arguments*) const override;
52 //@}
53 //! \name Inspectors
54 //@{
57 return settlementMethod_;
58 }
59 Swap::Type type() const { return swap_->type(); }
60 const ext::shared_ptr<FloatFloatSwap> &underlyingSwap() const {
61 return swap_;
62 }
63 //@}
64 std::vector<ext::shared_ptr<BlackCalibrationHelper>>
65 calibrationBasket(const ext::shared_ptr<SwapIndex>& standardSwapBase,
66 const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,
69
70 private:
71 // arguments
72 ext::shared_ptr<FloatFloatSwap> swap_;
75 };
76
77 //! %Arguments for cms swaption calculation
79 public Option::arguments {
80 public:
81 arguments() = default;
82 ext::shared_ptr<FloatFloatSwap> swap;
85 void validate() const override;
86 };
87
88 //! base class for cms swaption engines
90 : public GenericEngine<FloatFloatSwaption::arguments,
91 FloatFloatSwaption::results> {};
92}
93
94#endif
base class for pricing engines capable of generating a calibration basket
Calibration helper class.
Arguments for float float swap calculation
Arguments for cms swaption calculation
ext::shared_ptr< FloatFloatSwap > swap
base class for cms swaption engines
floatfloat swaption class
const ext::shared_ptr< FloatFloatSwap > & underlyingSwap() const
void setupArguments(PricingEngine::arguments *) const override
Settlement::Type settlementType() const
bool isExpired() const override
returns whether the instrument might have value greater than zero.
std::vector< ext::shared_ptr< BlackCalibrationHelper > > calibrationBasket(const ext::shared_ptr< SwapIndex > &standardSwapBase, const ext::shared_ptr< SwaptionVolatilityStructure > &swaptionVolatility, BasketGeneratingEngine::CalibrationBasketType basketType=BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const
ext::shared_ptr< FloatFloatSwap > swap_
Settlement::Method settlementMethod_
Settlement::Method settlementMethod() const
template base class for option pricing engines
basic option arguments
Definition: option.hpp:57
base option class
Definition: option.hpp:36
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
swap exchanging capped floored Libor or CMS coupons with quite general specification....
Definition: any.hpp:35
void swap(Array &v, Array &w) noexcept
Definition: array.hpp:903
Swaption class.
Swaption volatility structure.
Interest-rate term structure.