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 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 ()

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< OneFactorAffineModel >	model_
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

Examples

BermudanSwaption.cpp.

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.