QuantLib_Gaussian1dFloatFloatSwaptionEngine man page

Gaussian1dFloatFloatSwaptionEngine — One factor model float float swaption engine.


#include <ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp>

Inherits BasketGeneratingEngine, and GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results >.

Public Types

enum Probabilities { None, Naive, Digital }

Public Member Functions

Gaussian1dFloatFloatSwaptionEngine (const boost::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< Quote > &oas=Handle< Quote >(), const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool includeTodaysExercise=false, const Probabilities probabilities=None)

void calculate () const

Handle< YieldTermStructure > discountingCurve () const

Protected Member Functions

Real underlyingNpv (const Date &expiry, const Real y) const

VanillaSwap::Type underlyingType () const

const Date underlyingLastDate () const

const Disposable< Array > initialGuess (const Date &expiry) const

Additional Inherited Members

Detailed Description

One factor model float float swaption engine.

All float coupons with fixing date greater or equal the respective option expiry are considered part of the exercise into right. Note that this is different from the usual accrual start date greater or equal exercise date if the fixing lag is strictly greater than the exercise lag (which should be a rare case). For the redepmtion flows the criterion is that the associated start date of the redemption flow (i.e. the start date of the regular coupon period with same payment date as the redemption flow) is greater or equal the exercise date.

The addtional result underlyingValue is the npv of the underlying (as seen from 'today') including all fixings greater (or greater equal depending on includeTodaysExercise) today.


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Referenced By

discountingCurve(3), Gaussian1dFloatFloatSwaptionEngine(3), initialGuess(3), underlyingLastDate(3), underlyingNpv(3) and underlyingType(3) are aliases of QuantLib_Gaussian1dFloatFloatSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib