A free/open-source library for quantitative finance
Reference manual - version 1.12
|
|
A free/open-source library for quantitative finance
Reference manual - version 1.12
|
nonstandard swaption class More...
#include <ql/instruments/nonstandardswaption.hpp>
Inheritance diagram for NonstandardSwaption:Classes | |
| class | arguments |
| Arguments for nonstandard swaption calculation More... | |
| class | engine |
| base class for nonstandard swaption engines More... | |
Public Member Functions | |
| NonstandardSwaption (const Swaption &fromSwaption) | |
| NonstandardSwaption (const boost::shared_ptr< NonstandardSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) | |
| Disposable< std::vector< boost::shared_ptr< CalibrationHelper > > > | calibrationBasket (boost::shared_ptr< SwapIndex > standardSwapBase, boost::shared_ptr< SwaptionVolatilityStructure > swaptionVolatility, const BasketGeneratingEngine::CalibrationBasketType basketType=BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
| VanillaSwap::Type | type () const |
| const boost::shared_ptr< NonstandardSwap > & | underlyingSwap () const |
| Public Member Functions inherited from Option | |
| Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
| boost::shared_ptr< Payoff > | payoff () |
| boost::shared_ptr< Exercise > | exercise () |
| Public Member Functions inherited from Instrument | |
| virtual void | fetchResults (const PricingEngine::results *) const |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
| 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 boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
| Public Types inherited from Option | |
| enum | Type { Put = -1, Call = 1 } |
| Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | setupExpired () const |
| virtual void | performCalculations () const |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Option | |
| boost::shared_ptr< Payoff > | payoff_ |
| boost::shared_ptr< Exercise > | exercise_ |
| Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
| Related Functions inherited from Option | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
nonstandard swaption class
|
virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
