QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
BlackSwaptionEngine Class Reference

Shifted Lognormal Black-formula swaption engine. More...

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

+ Inheritance diagram for BlackSwaptionEngine:

Public Member Functions

 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol)
 
QL_DEPRECATED BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement)
 
QL_DEPRECATED Real displacement ()
 
- Public Member Functions inherited from BlackStyleSwaptionEngine< detail::Black76Spec >
 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< YieldTermStructuretermStructure ()
 
Handle< SwaptionVolatilityStructurevolatility ()
 
- 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 Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from BlackStyleSwaptionEngine< detail::Black76Spec >
Real displacement_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

Shifted Lognormal Black-formula swaption engine.

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

Constructor & Destructor Documentation

QL_DEPRECATED BlackSwaptionEngine ( const Handle< YieldTermStructure > &  discountCurve,
const Handle< SwaptionVolatilityStructure > &  vol,
Real  displacement 
)
Deprecated:
overrides displacement from given volatility structure, this is not recommended to do

Member Function Documentation

QL_DEPRECATED Real displacement ( )
Deprecated:
might return Null<Real>(), if given by a volatility structure, use volatility()->shift() to get the displacement instead