BlackSwaptionEngine Class Reference

Shifted Lognormal Black-formula swaption engine. More...

#include <blackswaptionengine.hpp>

Inheritance diagram for BlackSwaptionEngine:

Collaboration diagram for BlackSwaptionEngine:

Public Member Functions
	BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
	BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
	BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)
Public Member Functions inherited from BlackStyleSwaptionEngine< detail::Black76Spec >
	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 ()

Additional Inherited Members
Public Types inherited from BlackStyleSwaptionEngine< detail::Black76Spec >
enum	CashAnnuityModel
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Shifted Lognormal Black-formula swaption engine.

Warning:

The engine assumes that the exercise date lies before the start date of the passed swap.

Definition at line 136 of file blackswaptionengine.hpp.

Constructor & Destructor Documentation

BlackSwaptionEngine() [1/3]

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

Definition at line 30 of file blackswaptionengine.cpp.

BlackSwaptionEngine() [2/3]

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

Definition at line 37 of file blackswaptionengine.cpp.

BlackSwaptionEngine() [3/3]

BlackSwaptionEngine	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< SwaptionVolatilityStructure > &	vol,
		CashAnnuityModel	model = DiscountCurve
	)

Definition at line 46 of file blackswaptionengine.cpp.