24#ifndef quantlib_pricers_gaussian1d_nonstandardswaption_hpp
25#define quantlib_pricers_gaussian1d_nonstandardswaption_hpp
56 NonstandardSwaption::arguments,
57 NonstandardSwaption::results> {
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,
95 const int integrationPoints = 64,
const Real stddevs = 7.0,
96 const bool extrapolatePayoff =
true,
97 const bool flatPayoffExtrapolation =
false,
1-D array used in linear algebra.
One factor model non standard swaption engine.
const bool extrapolatePayoff_
const Handle< YieldTermStructure > discountCurve_
const bool flatPayoffExtrapolation_
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)
void calculate() const override
const int integrationPoints_
const Handle< Quote > oas_
const Date underlyingLastDate() const override
Real underlyingNpv(const Date &expiry, Real y) const override
Swap::Type underlyingType() const override
const Probabilities probabilities_
Base class for some pricing engine on a particular model.
Shared handle to an observable.
nonstandard swaption class
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Generic option engine based on a model.
nonstandard swap option class
Swaption volatility structure.