QuantLib_detail_BlackStyleSwaptionEngine man page

BlackStyleSwaptionEngine< Spec >

Synopsis

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

Inherits Swaption::engine.

Public Types

enum CashAnnuityModel { SwapRate, DiscountCurve }

Public Member Functions

BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)
void calculate () const
Handle< YieldTermStructure > termStructure ()
Handle< SwaptionVolatilityStructure > volatility ()

Additional Inherited Members

Detailed Description

template<class Spec>

class QuantLib::detail::BlackStyleSwaptionEngine< Spec >" Generic Black-style-formula swaption engine This is the base class for the Black and Bachelier swaption engines

Constructor & Destructor Documentation

BlackStyleSwaptionEngine (const Handle< YieldTermStructure > & discountCurve, const Handle< SwaptionVolatilityStructure > & vol, CashAnnuityModel model = DiscountCurve)

if displacement is Null<Real>(), it is read from the volatility structure, the parameter can be removed once the deprecated methods overriding the displacement are deleted

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page BlackStyleSwaptionEngine(3) is an alias of QuantLib_detail_BlackStyleSwaptionEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib