Jamshidian swaption engine. More...

#include <jamshidianswaptionengine.hpp>

Inheritance diagram for JamshidianSwaptionEngine:

Collaboration diagram for JamshidianSwaptionEngine:

Public Member Functions
	JamshidianSwaptionEngine (const ext::shared_ptr< OneFactorAffineModel > &model, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())

void	calculate () const override

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

	GenericModelEngine (const ext::shared_ptr< OneFactorAffineModel > &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
Handle< YieldTermStructure >	termStructure_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
Handle< OneFactorAffineModel >	model_

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

ResultsType	results_

Detailed Description

Jamshidian swaption engine.

Warning:: The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay

Definition at line 44 of file jamshidianswaptionengine.hpp.

Constructor & Destructor Documentation

◆ JamshidianSwaptionEngine()

JamshidianSwaptionEngine	(	const ext::shared_ptr< OneFactorAffineModel > &	model,
		Handle< YieldTermStructure >	termStructure = `Handle<YieldTermStructure>()`
	)