One factor model non standard swaption engine. More...

#include <gaussian1dnonstandardswaptionengine.hpp>

Inheritance diagram for Gaussian1dNonstandardSwaptionEngine:

Collaboration diagram for Gaussian1dNonstandardSwaptionEngine:

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
	Gaussian1dNonstandardSwaptionEngine (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 Probabilities probabilities=None)

	Gaussian1dNonstandardSwaptionEngine (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 Probabilities probabilities=None)

void	calculate () const override

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, NonstandardSwaption::arguments, NonstandardSwaption::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 Attributes
const int	integrationPoints_

const Real	stddevs_

const bool	extrapolatePayoff_

const bool	flatPayoffExtrapolation_

const Handle< YieldTermStructure >	discountCurve_

const Handle< Quote >	oas_

const Probabilities	probabilities_

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

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

ResultsType	results_

Detailed Description

One factor model non standard swaption engine.

All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise into right.

All float coupons with start date greater or equal to the respective option expiry are consideres to be part of the exercise into right.

For redemption flows an associated start date is considered in the criterion, which is the start date of the regular xcoupon period with same payment date as the redemption flow.

Warning:: Cash settled swaptions are not supported

Definition at line 53 of file gaussian1dnonstandardswaptionengine.hpp.

Member Enumeration Documentation

◆ Probabilities

enum Probabilities

Enumerator
None
Naive
Digital

Definition at line 59 of file gaussian1dnonstandardswaptionengine.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dNonstandardSwaptionEngine() [1/2]

Gaussian1dNonstandardSwaptionEngine	(	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 Probabilities	probabilities = `None`
	)

Definition at line 65 of file gaussian1dnonstandardswaptionengine.hpp.

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◆ Gaussian1dNonstandardSwaptionEngine() [2/2]

Gaussian1dNonstandardSwaptionEngine	(	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 Probabilities	probabilities = `None`
	)