QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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blackswaptionengine.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007, 2008 Ferdinando Ametrano
5 Copyright (C) 2006 Cristina Duminuco
6 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
7 Copyright (C) 2006, 2007 StatPro Italia srl
8 Copyright (C) 2015, 2016, 2017 Peter Caspers
9 Copyright (C) 2017 Paul Giltinan
10 Copyright (C) 2017 Werner Kuerzinger
11
12 This file is part of QuantLib, a free-software/open-source library
13 for financial quantitative analysts and developers - http://quantlib.org/
14
15 QuantLib is free software: you can redistribute it and/or modify it
16 under the terms of the QuantLib license. You should have received a
17 copy of the license along with this program; if not, please email
18 <quantlib-dev@lists.sf.net>. The license is also available online at
19 <http://quantlib.org/license.shtml>.
20
21 This program is distributed in the hope that it will be useful, but WITHOUT
22 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
23 FOR A PARTICULAR PURPOSE. See the license for more details.
24*/
25
27
28namespace QuantLib {
29
31 const Handle<YieldTermStructure> &discountCurve,
32 Volatility vol, const DayCounter &dc,
33 Real displacement, CashAnnuityModel model)
34 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol, dc,
35 displacement, model) {}
36
38 const Handle<YieldTermStructure> &discountCurve,
39 const Handle<Quote> &vol,
40 const DayCounter &dc,
41 Real displacement,
42 CashAnnuityModel model)
43 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol, dc,
44 displacement, model) {}
45
47 const Handle<YieldTermStructure> &discountCurve,
49 CashAnnuityModel model)
50 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol,
51 model) {
52 QL_REQUIRE(vol->volatilityType() == ShiftedLognormal,
53 "BlackSwaptionEngine requires (shifted) lognormal input "
54 "volatility");
55 }
56
57
59 const Handle<YieldTermStructure> &discountCurve, Volatility vol,
60 const DayCounter &dc, CashAnnuityModel model)
61 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
62 dc, model) {}
63
65 const Handle<YieldTermStructure> &discountCurve,
66 const Handle<Quote> &vol, const DayCounter &dc, CashAnnuityModel model)
67 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
68 dc, model) {}
69
71 const Handle<YieldTermStructure> &discountCurve,
72 const Handle<SwaptionVolatilityStructure> &vol, CashAnnuityModel model)
73 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
74 model) {
75 QL_REQUIRE(vol->volatilityType() == Normal,
76 "BachelierSwaptionEngine requires normal input volatility");
77 }
78
79} // namespace QuantLib
Black-formula swaption engine.
BachelierSwaptionEngine(const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
BlackSwaptionEngine(const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
day counter class
Definition: daycounter.hpp:44
Shared handle to an observable.
Definition: handle.hpp:41
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
Definition: any.hpp:35