QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Public Member Functions | List of all members
BachelierSwaptionEngine Class Reference

Normal Bachelier-formula swaption engine. More...

#include <ql/pricingengines/swaption/blackswaptionengine.hpp>

+ Inheritance diagram for BachelierSwaptionEngine:
+ Collaboration diagram for BachelierSwaptionEngine:

Public Member Functions

 BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
 
 BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
 
 BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)
 
- Public Member Functions inherited from BlackStyleSwaptionEngine< detail::BachelierSpec >
 BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
 
 BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
 
 BlackStyleSwaptionEngine (Handle< YieldTermStructure > discountCurve, Handle< SwaptionVolatilityStructure > vol, CashAnnuityModel model=DiscountCurve)
 
void calculate () const override
 
Handle< YieldTermStructuretermStructure ()
 
Handle< SwaptionVolatilityStructurevolatility ()
 
- Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from BlackStyleSwaptionEngine< detail::BachelierSpec >
enum  CashAnnuityModel
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

Normal Bachelier-formula swaption engine.

Warning:
The engine assumes that the exercise date lies before the start date of the passed swap.

Definition at line 161 of file blackswaptionengine.hpp.

Constructor & Destructor Documentation

◆ BachelierSwaptionEngine() [1/3]

BachelierSwaptionEngine ( const Handle< YieldTermStructure > &  discountCurve,
Volatility  vol,
const DayCounter dc = Actual365Fixed(),
CashAnnuityModel  model = DiscountCurve 
)

Definition at line 58 of file blackswaptionengine.cpp.

◆ BachelierSwaptionEngine() [2/3]

BachelierSwaptionEngine ( const Handle< YieldTermStructure > &  discountCurve,
const Handle< Quote > &  vol,
const DayCounter dc = Actual365Fixed(),
CashAnnuityModel  model = DiscountCurve 
)

Definition at line 64 of file blackswaptionengine.cpp.

◆ BachelierSwaptionEngine() [3/3]

Definition at line 70 of file blackswaptionengine.cpp.