QuantLib: JamshidianSwaptionEngine Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | Friends | List of all members
JamshidianSwaptionEngine Class Reference
Pricing engines » Swaption engines

Jamshidian swaption engine. More...

`#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>`

Inheritance diagram for JamshidianSwaptionEngine:
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## 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.