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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_bachelier_swaption_engine.html">BachelierSwaptionEngine</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_bachelier_swaption_engine-members.html">List of all members</a> </div>
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<div class="title">BachelierSwaptionEngine Class Reference<div class="ingroups"><a class="el" href="group__engines.html">Pricing engines</a> » <a class="el" href="group__swaptionengines.html">Swaption engines</a></div></div> </div>
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<p>Normal Bachelier-formula swaption engine.
<a href="class_quant_lib_1_1_bachelier_swaption_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/swaption/blackswaptionengine.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for BachelierSwaptionEngine:</div>
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<map name="_bachelier_swaption_engine_inherit__map" id="a_bachelier_swaption_engine_inherit__map">
<area shape="rect" title="Normal Bachelier-formula swaption engine." alt="" coords="9,169,180,196"/>
<area shape="rect" href="class_quant_lib_1_1detail_1_1_black_style_swaption_engine.html" title=" " alt="" coords="5,80,184,121"/>
<area shape="rect" href="class_quant_lib_1_1_swaption_1_1engine.html" title="base class for swaption engines" alt="" coords="65,5,125,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a372744db7b50e909c1d7fe615a52c525"><td class="memItemLeft" align="right" valign="top"><a id="a372744db7b50e909c1d7fe615a52c525"></a>
 </td><td class="memItemRight" valign="bottom"><b>BachelierSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> vol, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
<tr class="separator:a372744db7b50e909c1d7fe615a52c525"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9288d7f1309531548da371fd8f263ae9"><td class="memItemLeft" align="right" valign="top"><a id="a9288d7f1309531548da371fd8f263ae9"></a>
 </td><td class="memItemRight" valign="bottom"><b>BachelierSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &vol, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
<tr class="separator:a9288d7f1309531548da371fd8f263ae9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a897a8fcc50c174622ee95a2d0c1a0bc6"><td class="memItemLeft" align="right" valign="top"><a id="a897a8fcc50c174622ee95a2d0c1a0bc6"></a>
 </td><td class="memItemRight" valign="bottom"><b>BachelierSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > &vol, CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
<tr class="separator:a897a8fcc50c174622ee95a2d0c1a0bc6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1detail_1_1_black_style_swaption_engine.html">BlackStyleSwaptionEngine< detail::BachelierSpec ></a></td></tr>
<tr class="memitem:a3fd96632bf07156d7a136f0a91b269ae inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="a3fd96632bf07156d7a136f0a91b269ae"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackStyleSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> vol, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> displacement=0.0, CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
<tr class="separator:a3fd96632bf07156d7a136f0a91b269ae inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac8f9cb17ec5e8a6deccb9e980bcf4f2e inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="ac8f9cb17ec5e8a6deccb9e980bcf4f2e"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackStyleSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &vol, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dc=<a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>(), <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> displacement=0.0, CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
<tr class="separator:ac8f9cb17ec5e8a6deccb9e980bcf4f2e inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2882511d5ef99bfc646ac2e390459a73 inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="a2882511d5ef99bfc646ac2e390459a73"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackStyleSwaptionEngine</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > &vol, CashAnnuityModel model=<a class="el" href="group__yieldtermstructures.html#ga4e538c822f698ad1c21bbe52deb30d29">DiscountCurve</a>)</td></tr>
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<tr class="memitem:a082ff96da379d5e17436372ccb3c0972 inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="a082ff96da379d5e17436372ccb3c0972"></a>
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
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<tr class="memitem:aa6d8cf746064bbf8580d58fc2650d977 inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="aa6d8cf746064bbf8580d58fc2650d977"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>termStructure</b> ()</td></tr>
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<tr class="memitem:a6c5808888339733d1c7217afb71353ad inherit pub_methods_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="a6c5808888339733d1c7217afb71353ad"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > </td><td class="memItemRight" valign="bottom"><b>volatility</b> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< Swaption::arguments, Swaption::results ></a></td></tr>
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PricingEngine::arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const</td></tr>
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const PricingEngine::results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>update</b> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_pricing_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_pricing_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a></td></tr>
<tr class="memitem:acadfc179f7be93951a88d8d9785402d3 inherit pub_methods_class_quant_lib_1_1_pricing_engine"><td class="memItemLeft" align="right" valign="top"><a id="acadfc179f7be93951a88d8d9785402d3"></a>
virtual arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const =0</td></tr>
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virtual const results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const =0</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const =0</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1detail_1_1_black_style_swaption_engine')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1detail_1_1_black_style_swaption_engine.html">BlackStyleSwaptionEngine< detail::BachelierSpec ></a></td></tr>
<tr class="memitem:a9de521dcea13481fafc8d023a3f45693 inherit pub_types_class_quant_lib_1_1detail_1_1_black_style_swaption_engine"><td class="memItemLeft" align="right" valign="top"><a id="a9de521dcea13481fafc8d023a3f45693"></a>enum  </td><td class="memItemRight" valign="bottom"><b>CashAnnuityModel</b> </td></tr>
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<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< Swaption::arguments, Swaption::results ></a></td></tr>
<tr class="memitem:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="afee5e1b26214353757b120d9f5ad2169"></a>
<a class="el" href="class_quant_lib_1_1_swaption_1_1arguments.html">Swaption::arguments</a> </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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Swaption::results </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Normal Bachelier-formula swaption engine. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000141">Warning:</a></b></dt><dd>The engine assumes that the exercise date lies before the start date of the passed swap. </dd></dl>
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