QuantLib_detail_BlackStyleSwaptionEngine man page

BlackStyleSwaptionEngine< Spec > —

Synopsis

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

Inherits Swaption::engine.

Public Member Functions

BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement=Null< Real >())

void calculate () const

Handle< YieldTermStructure > termStructure ()

Handle< SwaptionVolatilityStructure > volatility ()

Protected Attributes

Real displacement_

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, Real displacement = Null<Real>())

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

BlackStyleSwaptionEngine(3) is an alias of QuantLib_detail_BlackStyleSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib