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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Gaussian1dNonstandardSwaptionEngine(3) is an alias of QuantLib_Gaussian1dNonstandardSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib