QuantLib_BlackSwaptionEngine man page

BlackSwaptionEngine — Shifted Lognormal Black-formula swaption engine.

Synopsis

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

Inherits BlackStyleSwaptionEngine< detail::Black76Spec >.

Public Member Functions

BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol)

QL_DEPRECATED BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement)

QL_DEPRECATED Real displacement ()

Additional Inherited Members

Detailed Description

Shifted Lognormal Black-formula swaption engine.

Warning

The engine assumes that the exercise date equals the start date of the passed swap.

Constructor & Destructor Documentation

QL_DEPRECATED BlackSwaptionEngine (const Handle< YieldTermStructure > & discountCurve, const Handle< SwaptionVolatilityStructure > & vol, Real displacement)

Deprecated

overrides displacement from given volatility structure, this is not recommended to do

Member Function Documentation

QL_DEPRECATED Real displacement ()

Deprecated

might return Null<Real>(), if given by a volatility structure, use volatility()->shift() to get the displacement instead

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackSwaptionEngine(3) is an alias of QuantLib_BlackSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib