26#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
33 Real displacement, CashAnnuityModel model)
34 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol, dc,
35 displacement, model) {}
42 CashAnnuityModel model)
43 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol, dc,
44 displacement, model) {}
49 CashAnnuityModel model)
50 : detail::BlackStyleSwaptionEngine<detail::Black76Spec>(discountCurve, vol,
53 "BlackSwaptionEngine requires (shifted) lognormal input "
61 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
67 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
73 : detail::BlackStyleSwaptionEngine<detail::BachelierSpec>(discountCurve, vol,
75 QL_REQUIRE(vol->volatilityType() ==
Normal,
76 "BachelierSwaptionEngine requires normal input volatility");
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)
Shared handle to an observable.
Real Volatility
volatility