QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
#include <basketgeneratingengine.hpp>
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< Gaussian1dModel > | onefactormodel_ |
const Handle< Quote > | oas_ |
const Handle< YieldTermStructure > | discountCurve_ |
Definition at line 57 of file basketgeneratingengine.hpp.
Enumerator | |
---|---|
Naive | |
MaturityStrikeByDeltaGamma |
Definition at line 61 of file basketgeneratingengine.hpp.
|
virtualdefault |
|
protected |
Definition at line 75 of file basketgeneratingengine.hpp.
|
protected |
Definition at line 80 of file basketgeneratingengine.hpp.
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 |
Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.
|
protectedpure virtual |
Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.
|
protectedpure virtual |
Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.
Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.
|
private |
Definition at line 97 of file basketgeneratingengine.hpp.
Definition at line 98 of file basketgeneratingengine.hpp.
|
private |
Definition at line 99 of file basketgeneratingengine.hpp.