One factor model swaption engine. More...

#include <gaussian1dswaptionengine.hpp>

Inheritance diagram for Gaussian1dSwaptionEngine:

Collaboration diagram for Gaussian1dSwaptionEngine:

Public Types
enum	Probabilities { None , Naive , Digital }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	Gaussian1dSwaptionEngine (const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None)

	Gaussian1dSwaptionEngine (const Handle< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None)

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >
	GenericModelEngine (Handle< Gaussian1dModel > model=Handle< Gaussian1dModel >())

	GenericModelEngine (const ext::shared_ptr< Gaussian1dModel > &model)

Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Attributes
const int	integrationPoints_

const Real	stddevs_

const bool	extrapolatePayoff_

const bool	flatPayoffExtrapolation_

const Handle< YieldTermStructure >	discountCurve_

const Probabilities	probabilities_

Additional Inherited Members
Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >
Handle< Gaussian1dModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

One factor model 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.

Warning:: Cash settled swaptions are not supported

Definition at line 44 of file gaussian1dswaptionengine.hpp.

Member Enumeration Documentation

◆ Probabilities

enum Probabilities

Enumerator
None
Naive
Digital

Definition at line 48 of file gaussian1dswaptionengine.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dSwaptionEngine() [1/2]

Gaussian1dSwaptionEngine	(	const ext::shared_ptr< Gaussian1dModel > &	model,
		const int	integrationPoints = `64`,
		const Real	stddevs = `7.0`,
		const bool	extrapolatePayoff = `true`,
		const bool	flatPayoffExtrapolation = `false`,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`,
		const Probabilities	probabilities = `None`
	)

Definition at line 54 of file gaussian1dswaptionengine.hpp.

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◆ Gaussian1dSwaptionEngine() [2/2]

Gaussian1dSwaptionEngine	(	const Handle< Gaussian1dModel > &	model,
		const int	integrationPoints = `64`,
		const Real	stddevs = `7.0`,
		const bool	extrapolatePayoff = `true`,
		const bool	flatPayoffExtrapolation = `false`,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`,
		const Probabilities	probabilities = `None`
	)