QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Friends | List of all members
JamshidianSwaptionEngine Class Reference

Jamshidian swaption engine. More...

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

+ Inheritance diagram for JamshidianSwaptionEngine:

Public Member Functions

 JamshidianSwaptionEngine (const ext::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
 GenericModelEngine (const Handle< OneFactorAffineModel > &model=Handle< OneFactorAffineModel >())
 
 GenericModelEngine (const ext::shared_ptr< OneFactorAffineModel > &model)
 
- Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Friends

class rStarFinder
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >
Handle< OneFactorAffineModelmodel_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

Jamshidian swaption engine.

Warning:
The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay

Constructor & Destructor Documentation

◆ JamshidianSwaptionEngine()

JamshidianSwaptionEngine ( const ext::shared_ptr< OneFactorAffineModel > &  model,
const Handle< YieldTermStructure > &  termStructure = Handle<YieldTermStructure>() 
)
Note
the term structure is only needed when the short-rate model cannot provide one itself.