QuantLib_Gaussian1dSwaptionEngine man page

Gaussian1dSwaptionEngine — One factor model swaption engine.  


#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>

Inherits GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >.

Public Types

enum Probabilities { None, Naive, Digital }

Public Member Functions

Gaussian1dSwaptionEngine (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< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Probabilities probabilities=None)
void calculate () const

Additional Inherited Members

Detailed Description

One factor model 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.


Cash settled swaptions are not supported


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Gaussian1dSwaptionEngine(3) is an alias of QuantLib_Gaussian1dSwaptionEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib