BasketGeneratingEngine Class Reference

#include <ql/pricingengines/swaption/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< Gaussian1dModel >	onefactormodel_
const Handle< Quote >	oas_
const Handle< YieldTermStructure >	discountCurve_

Detailed Description

Definition at line 57 of file basketgeneratingengine.hpp.

Member Typedef Documentation

CalibrationBasketType

typedef enum QuantLib::BasketGeneratingEngine::CalibrationBasketType CalibrationBasketType

Member Enumeration Documentation

CalibrationBasketType

enum 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.

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underlyingNpv()

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

protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

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underlyingType()

virtual Swap::Type underlyingType ( ) const

protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

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underlyingLastDate()

virtual const Date underlyingLastDate ( ) const

protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

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initialGuess()

virtual const Array initialGuess ( const Date &  expiry ) const

protectedpure virtual

Implemented in Gaussian1dFloatFloatSwaptionEngine, and Gaussian1dNonstandardSwaptionEngine.

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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.