QuantLib_Gaussian1dNonstandardSwaptionEngine man page

Gaussian1dNonstandardSwaptionEngine — One factor model non standard swaption engine.  

Synopsis

#include <ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp>

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

Public Types

enum Probabilities { None, Naive, Digital }

Public Member Functions

Gaussian1dNonstandardSwaptionEngine (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 Probabilities probabilities=None)
void calculate () 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 non standard swaption engine.

All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise into right.

All float coupons with start date greater or equal to the respective option expiry are consideres to be part of the exercise into right.

For redemption flows an associated start date is considered in the criterion, which is the start date of the regular xcoupon period with same payment date as the redemption flow.

Warning

Cash settled swaptions are not supported

Author

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Referenced By

The man page Gaussian1dNonstandardSwaptionEngine(3) is an alias of QuantLib_Gaussian1dNonstandardSwaptionEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib