BlackStyleSwaptionEngine< Spec > Class Template Reference

#include <ql/pricingengines/swaption/blackswaptionengine.hpp>

Inheritance diagram for BlackStyleSwaptionEngine< Spec >:

Collaboration diagram for BlackStyleSwaptionEngine< Spec >:

Public Types
enum	CashAnnuityModel { SwapRate , DiscountCurve }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
	BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
	BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, Handle< SwaptionVolatilityStructure > vol, CashAnnuityModel model=DiscountCurve)
void	calculate () const override
Handle< YieldTermStructure >	termStructure ()
Handle< SwaptionVolatilityStructure >	volatility ()
Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
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 >	discountCurve_
Handle< SwaptionVolatilityStructure >	vol_
CashAnnuityModel	model_

Additional Inherited Members
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

template<class Spec>
class QuantLib::detail::BlackStyleSwaptionEngine< Spec >

Generic Black-style-formula swaption engine This is the base class for the Black and Bachelier swaption engines

Definition at line 54 of file blackswaptionengine.hpp.

Member Enumeration Documentation

CashAnnuityModel

enum CashAnnuityModel

Enumerator
SwapRate
DiscountCurve

Definition at line 56 of file blackswaptionengine.hpp.

Constructor & Destructor Documentation

BlackStyleSwaptionEngine() [1/3]

BlackStyleSwaptionEngine	(	Handle< YieldTermStructure >	discountCurve,
		Volatility	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0,
		CashAnnuityModel	model = DiscountCurve
	)

Definition at line 182 of file blackswaptionengine.hpp.

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BlackStyleSwaptionEngine() [2/3]

BlackStyleSwaptionEngine	(	Handle< YieldTermStructure >	discountCurve,
		const Handle< Quote > &	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0,
		CashAnnuityModel	model = DiscountCurve
	)

Definition at line 196 of file blackswaptionengine.hpp.

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BlackStyleSwaptionEngine() [3/3]

BlackStyleSwaptionEngine	(	Handle< YieldTermStructure >	discountCurve,
		Handle< SwaptionVolatilityStructure >	vol,
		CashAnnuityModel	model = DiscountCurve
	)

Definition at line 211 of file blackswaptionengine.hpp.

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Member Function Documentation

calculate()

void calculate

overridevirtual

Implements PricingEngine.

Definition at line 221 of file blackswaptionengine.hpp.

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termStructure()

Handle< YieldTermStructure > termStructure

(

)

Definition at line 71 of file blackswaptionengine.hpp.

volatility()

Handle< SwaptionVolatilityStructure > volatility

(

)

Definition at line 72 of file blackswaptionengine.hpp.

Member Data Documentation

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 75 of file blackswaptionengine.hpp.

vol_

Handle<SwaptionVolatilityStructure> vol_

private

Definition at line 76 of file blackswaptionengine.hpp.

model_

CashAnnuityModel model_

private

Definition at line 77 of file blackswaptionengine.hpp.