BachelierSwaptionEngine Class Reference

Normal Bachelier-formula swaption engine. More...

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

Inheritance diagram for BachelierSwaptionEngine:

Public Member Functions
	BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
	BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
	BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)
Public Member Functions inherited from BlackStyleSwaptionEngine< detail::BachelierSpec >
	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 ()
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 PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (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 ()

Additional Inherited Members
Public Types inherited from BlackStyleSwaptionEngine< detail::BachelierSpec >
enum	CashAnnuityModel
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Normal Bachelier-formula swaption engine.

Warning:

The engine assumes that the exercise date lies before the start date of the passed swap.