QuantLib: a free/open-source library for quantitative finance
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gaussian1dnonstandardswaptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2013 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file gaussian1dnonstandardswaptionengine.hpp
21 \brief
22*/
23
24#ifndef quantlib_pricers_gaussian1d_nonstandardswaption_hpp
25#define quantlib_pricers_gaussian1d_nonstandardswaption_hpp
26
31
32namespace QuantLib {
33
34 //! One factor model non standard swaption engine
35 /*! \ingroup swaptionengines
36
37 All fixed coupons with start date greater or equal to the
38 respective option expiry are considered to be part of the
39 exercise into right.
40
41 All float coupons with start date greater or equal to the
42 respective option expiry are consideres to be part of the
43 exercise into right.
44
45 For redemption flows an associated start date is considered
46 in the criterion, which is the start date of the regular
47 xcoupon period with same payment date as the redemption flow.
48
49 \warning Cash settled swaptions are not supported
50
51 */
52
55 public GenericModelEngine<Gaussian1dModel,
56 NonstandardSwaption::arguments,
57 NonstandardSwaption::results> {
58 public:
63 };
64
66 const ext::shared_ptr<Gaussian1dModel> &model,
67 const int integrationPoints = 64, const Real stddevs = 7.0,
68 const bool extrapolatePayoff = true,
69 const bool flatPayoffExtrapolation = false,
70 const Handle<Quote> &oas = Handle<Quote>(), // continuously
71 // compounded w.r.t. yts
72 // daycounter
73 const Handle<YieldTermStructure> &discountCurve =
75 const Probabilities probabilities = None)
76 : BasketGeneratingEngine(model, oas, discountCurve),
80 integrationPoints_(integrationPoints), stddevs_(stddevs),
81 extrapolatePayoff_(extrapolatePayoff),
82 flatPayoffExtrapolation_(flatPayoffExtrapolation),
83 discountCurve_(discountCurve), oas_(oas),
84 probabilities_(probabilities) {
85
86 if (!oas_.empty())
88
89 if (!discountCurve_.empty())
91 }
92
94 const Handle<Gaussian1dModel> &model,
95 const int integrationPoints = 64, const Real stddevs = 7.0,
96 const bool extrapolatePayoff = true,
97 const bool flatPayoffExtrapolation = false,
98 const Handle<Quote> &oas = Handle<Quote>(), // continuously
99 // compounded w.r.t. yts
100 // daycounter
101 const Handle<YieldTermStructure> &discountCurve =
103 const Probabilities probabilities = None)
104 : BasketGeneratingEngine(model, oas, discountCurve),
108 integrationPoints_(integrationPoints), stddevs_(stddevs),
109 extrapolatePayoff_(extrapolatePayoff),
110 flatPayoffExtrapolation_(flatPayoffExtrapolation),
111 discountCurve_(discountCurve), oas_(oas),
112 probabilities_(probabilities) {
113
114 if (!oas_.empty())
116
117 if (!discountCurve_.empty())
119 }
120
121 void calculate() const override;
122
123 protected:
124 Real underlyingNpv(const Date& expiry, Real y) const override;
125 Swap::Type underlyingType() const override;
126 const Date underlyingLastDate() const override;
127 const Array initialGuess(const Date& expiry) const override;
128
129 private:
136 };
137}
138
139#endif
1-D array used in linear algebra.
Definition: array.hpp:52
Concrete date class.
Definition: date.hpp:125
One factor model non standard swaption engine.
const Array initialGuess(const Date &expiry) const override
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)
Real underlyingNpv(const Date &expiry, Real y) const override
Base class for some pricing engine on a particular model.
Shared handle to an observable.
Definition: handle.hpp:41
nonstandard swaption class
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
Generic option engine based on a model.
QL_REAL Real
real number
Definition: types.hpp:50
GSR 1 factor model.
Definition: any.hpp:35
nonstandard swap option class
Swaption volatility structure.