Swaption priced by means of the Black formula More...
#include <g2swaptionengine.hpp>
Inheritance diagram for G2SwaptionEngine:
Collaboration diagram for G2SwaptionEngine:
Public Member Functions | |
| G2SwaptionEngine (const ext::shared_ptr< G2 > &model, Real range, Size intervals) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results > | |
| GenericModelEngine (Handle< G2 > model=Handle< G2 >()) | |
| GenericModelEngine (const ext::shared_ptr< G2 > &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 () |
Private Attributes | |
| Real | range_ |
| Size | intervals_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results > | |
| Handle< G2 > | model_ |
| Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType > | |
| ArgumentsType | arguments_ |
| ResultsType | results_ |
Detailed Description
Swaption priced by means of the Black formula
- Warning:
- The engine assumes that the exercise date equals the start date of the passed swap.
Definition at line 39 of file g2swaptionengine.hpp.
Constructor & Destructor Documentation
◆ G2SwaptionEngine()
| G2SwaptionEngine | ( | const ext::shared_ptr< G2 > & | model, |
| Real | range, | ||
| Size | intervals | ||
| ) |
Definition at line 45 of file g2swaptionengine.hpp.
Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 50 of file g2swaptionengine.hpp.
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Member Data Documentation
◆ range_
|
private |
Definition at line 69 of file g2swaptionengine.hpp.
◆ intervals_
|
private |
Definition at line 70 of file g2swaptionengine.hpp.