G2SwaptionEngine Class Reference

Swaption priced by means of the Black formula More...

#include <ql/pricingengines/swaption/g2swaptionengine.hpp>

Inheritance diagram for G2SwaptionEngine:

Public Member Functions
	G2SwaptionEngine (const ext::shared_ptr< G2 > &model, Real range, Size intervals)
void	calculate () const
Public Member Functions inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
	GenericModelEngine (const Handle< G2 > &model=Handle< G2 >())
	GenericModelEngine (const ext::shared_ptr< G2 > &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 PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () 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 Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
Handle< G2 >	model_
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Swaption priced by means of the Black formula

Warning:

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

Examples

BermudanSwaption.cpp.