One factor model float float swaption engine. More...

#include <gaussian1dfloatfloatswaptionengine.hpp>

Inheritance diagram for Gaussian1dFloatFloatSwaptionEngine:

Collaboration diagram for Gaussian1dFloatFloatSwaptionEngine:

Public Types
enum	Probabilities { None , Naive , Digital }

Public Types inherited from BasketGeneratingEngine
enum	CalibrationBasketType { Naive , MaturityStrikeByDeltaGamma }

typedef enum QuantLib::BasketGeneratingEngine::CalibrationBasketType	CalibrationBasketType

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	Gaussian1dFloatFloatSwaptionEngine (const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool includeTodaysExercise=false, const Probabilities probabilities=None)

	Gaussian1dFloatFloatSwaptionEngine (const Handle< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool includeTodaysExercise=false, const Probabilities probabilities=None)

void	calculate () const override

Handle< YieldTermStructure >	discountingCurve () const

Public Member Functions inherited from BasketGeneratingEngine
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

Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
	GenericModelEngine (Handle< Gaussian1dModel > model=Handle< Gaussian1dModel >())

	GenericModelEngine (const ext::shared_ptr< Gaussian1dModel > &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 ()

Protected Member Functions
Real	underlyingNpv (const Date &expiry, Real y) const override

Swap::Type	underlyingType () const override

const Date	underlyingLastDate () const override

const Array	initialGuess (const Date &expiry) const override

Protected Member Functions inherited from BasketGeneratingEngine
	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 Member Functions
std::pair< Real, Real >	npvs (const Date &expiry, Real y, bool includeExerciseOnxpiry, bool considerProbabilities=false) const

Private Attributes
const int	integrationPoints_

const Real	stddevs_

const bool	extrapolatePayoff_

const bool	flatPayoffExtrapolation_

const Handle< Quote >	oas_

const Handle< YieldTermStructure >	discountCurve_

const bool	includeTodaysExercise_

const Probabilities	probabilities_

ext::shared_ptr< RebatedExercise >	rebatedExercise_

Additional Inherited Members
Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >
Handle< Gaussian1dModel >	model_

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

ResultsType	results_

Detailed Description

One factor model float float swaption engine.

All float coupons with fixing date greater or equal the respective option expiry are considered part of the exercise into right. Note that this is different from the usual accrual start date greater or equal exercise date if the fixing lag is strictly greater than the exercise lag (which should be a rare case). For the redepmtion flows the criterion is that the associated start date of the redemption flow (i.e. the start date of the regular coupon period with same payment date as the redemption flow) is greater or equal the exercise date.

The addtional result underlyingValue is the npv of the underlying (as seen from "today") including all fixings greater (or greater equal depending on includeTodaysExercise) today.

Definition at line 57 of file gaussian1dfloatfloatswaptionengine.hpp.

Member Enumeration Documentation

◆ Probabilities

enum Probabilities

Enumerator
None
Naive
Digital

Definition at line 63 of file gaussian1dfloatfloatswaptionengine.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dFloatFloatSwaptionEngine() [1/2]

Gaussian1dFloatFloatSwaptionEngine	(	const ext::shared_ptr< Gaussian1dModel > &	model,
		const int	integrationPoints = `64`,
		const Real	stddevs = `7.0`,
		const bool	extrapolatePayoff = `true`,
		const bool	flatPayoffExtrapolation = `false`,
		const Handle< Quote > &	oas = `Handle<Quote>()`,
		const Handle< YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		const bool	includeTodaysExercise = `false`,
		const Probabilities	probabilities = `None`
	)

Definition at line 69 of file gaussian1dfloatfloatswaptionengine.hpp.

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◆ Gaussian1dFloatFloatSwaptionEngine() [2/2]

Gaussian1dFloatFloatSwaptionEngine	(	const Handle< Gaussian1dModel > &	model,
		const int	integrationPoints = `64`,
		const Real	stddevs = `7.0`,
		const bool	extrapolatePayoff = `true`,
		const bool	flatPayoffExtrapolation = `false`,
		const Handle< Quote > &	oas = `Handle<Quote>()`,
		const Handle< YieldTermStructure > &	discountCurve = `Handle<YieldTermStructure>()`,
		const bool	includeTodaysExercise = `false`,
		const Probabilities	probabilities = `None`
	)