QuantLib_NonstandardSwaption man page

NonstandardSwaption — nonstandard swaption class


#include <ql/instruments/nonstandardswaption.hpp>

Inherits Option.


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

Public Member Functions

NonstandardSwaption (const Swaption &fromSwaption)

NonstandardSwaption (const boost::shared_ptr< NonstandardSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical)

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


VanillaSwap::Type type () const

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

Additional Inherited Members

Detailed Description

nonstandard 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.


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Referenced By

NonstandardSwaption(3) is an alias of QuantLib_NonstandardSwaption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016