QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Public Types | Public Member Functions | Protected Member Functions | Private Attributes | List of all members
BasketGeneratingEngine Class Referenceabstract

#include <basketgeneratingengine.hpp>

+ Inheritance diagram for BasketGeneratingEngine:
+ Collaboration diagram for BasketGeneratingEngine:

Classes

class  MatchHelper
 

Public Types

enum  CalibrationBasketType { Naive , MaturityStrikeByDeltaGamma }
 
typedef enum QuantLib::BasketGeneratingEngine::CalibrationBasketType CalibrationBasketType
 

Public Member Functions

virtual ~BasketGeneratingEngine ()=default
 
std::vector< ext::shared_ptr< BlackCalibrationHelper > > calibrationBasket (const ext::shared_ptr< Exercise > &exercise, const ext::shared_ptr< SwapIndex > &standardSwapBase, const ext::shared_ptr< SwaptionVolatilityStructure > &swaptionVolatility, CalibrationBasketType basketType=MaturityStrikeByDeltaGamma) const
 

Protected Member Functions

 BasketGeneratingEngine (const ext::shared_ptr< Gaussian1dModel > &model, Handle< Quote > oas, Handle< YieldTermStructure > discountCurve)
 
 BasketGeneratingEngine (Handle< Gaussian1dModel > model, Handle< Quote > oas, Handle< YieldTermStructure > discountCurve)
 
virtual Real underlyingNpv (const Date &expiry, Real y) const =0
 
virtual Swap::Type underlyingType () const =0
 
virtual const Date underlyingLastDate () const =0
 
virtual const Array initialGuess (const Date &expiry) const =0
 

Private Attributes

const Handle< Gaussian1dModelonefactormodel_
 
const Handle< Quoteoas_
 
const Handle< YieldTermStructurediscountCurve_
 

Detailed Description

Definition at line 57 of file basketgeneratingengine.hpp.

Member Typedef Documentation

◆ CalibrationBasketType

Member Enumeration Documentation

◆ CalibrationBasketType

Enumerator
Naive 
MaturityStrikeByDeltaGamma 

Definition at line 61 of file basketgeneratingengine.hpp.

Constructor & Destructor Documentation

◆ ~BasketGeneratingEngine()

virtual ~BasketGeneratingEngine ( )
virtualdefault

◆ BasketGeneratingEngine() [1/2]

BasketGeneratingEngine ( const ext::shared_ptr< Gaussian1dModel > &  model,
Handle< Quote oas,
Handle< YieldTermStructure discountCurve 
)
protected

Definition at line 75 of file basketgeneratingengine.hpp.

◆ BasketGeneratingEngine() [2/2]

BasketGeneratingEngine ( Handle< Gaussian1dModel model,
Handle< Quote oas,
Handle< YieldTermStructure discountCurve 
)
protected

Definition at line 80 of file basketgeneratingengine.hpp.

Member Function Documentation

◆ calibrationBasket()

std::vector< ext::shared_ptr< BlackCalibrationHelper > > calibrationBasket ( const ext::shared_ptr< Exercise > &  exercise,
const ext::shared_ptr< SwapIndex > &  standardSwapBase,
const ext::shared_ptr< SwaptionVolatilityStructure > &  swaptionVolatility,
CalibrationBasketType  basketType = MaturityStrikeByDeltaGamma 
) const

Definition at line 35 of file basketgeneratingengine.cpp.

+ Here is the call graph for this function:

◆ underlyingNpv()

virtual Real underlyingNpv ( const Date expiry,
Real  y 
) const
protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

+ Here is the caller graph for this function:

◆ underlyingType()

virtual Swap::Type underlyingType ( ) const
protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

+ Here is the caller graph for this function:

◆ underlyingLastDate()

virtual const Date underlyingLastDate ( ) const
protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

+ Here is the caller graph for this function:

◆ initialGuess()

virtual const Array initialGuess ( const Date expiry) const
protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

+ Here is the caller graph for this function:

Member Data Documentation

◆ onefactormodel_

const Handle<Gaussian1dModel> onefactormodel_
private

Definition at line 97 of file basketgeneratingengine.hpp.

◆ oas_

const Handle<Quote> oas_
private

Definition at line 98 of file basketgeneratingengine.hpp.

◆ discountCurve_

const Handle<YieldTermStructure> discountCurve_
private

Definition at line 99 of file basketgeneratingengine.hpp.