#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
Public Member Functions | |
BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) | |
BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) | |
BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement=Null< Real >()) | |
void | calculate () const |
Handle< YieldTermStructure > | termStructure () |
Handle< SwaptionVolatilityStructure > | volatility () |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Attributes | |
Real | displacement_ |
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Swaption::arguments | arguments_ |
Swaption::results | results_ |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Generic Black-style-formula swaption engine This is the base class for the Black and Bachelier swaption engines
BlackStyleSwaptionEngine | ( | const Handle< YieldTermStructure > & | discountCurve, |
const Handle< SwaptionVolatilityStructure > & | vol, | ||
Real | displacement = Null<Real>() |
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if displacement is Null<Real>(), it is read from the volatility structure, the parameter can be removed once the deprecated methods overriding the displacement are deleted