QuantLib_FloatFloatSwaption man page

FloatFloatSwaption — floatfloat swaption class

Synopsis

#include <ql/instruments/floatfloatswaption.hpp>

Inherits Option.

Classes

class arguments
Arguments for cms swaption calculation
class engine
base class for cms swaption engines

Public Member Functions

FloatFloatSwaption (const boost::shared_ptr< FloatFloatSwap > &swap, const boost::shared_ptr< Exercise > &exercise)

Disposable< std::vector< boost::shared_ptr< CalibrationHelper > > > calibrationBasket (boost::shared_ptr< SwapIndex > standardSwapBase, boost::shared_ptr< SwaptionVolatilityStructure > swaptionVolatility, const BasketGeneratingEngine::CalibrationBasketType basketType=BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

Inspectors

VanillaSwap::Type type () const

const boost::shared_ptr< FloatFloatSwap > & underlyingSwap () const

Additional Inherited Members

Detailed Description

floatfloat swaption class

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

calibrationBasket(3) and FloatFloatSwaption(3) are aliases of QuantLib_FloatFloatSwaption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib