Markov functional swaption engine. More...
#include <ql/experimental/models/markovfunctionalswaptionengine.hpp>
Public Member Functions | |
MarkovFunctionalSwaptionEngine (const boost::shared_ptr< MarkovFunctional > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false) | |
void | calculate () const |
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GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &model) | |
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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< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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__pad0__ | |
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Handle< MarkovFunctional > | model_ |
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Swaption::arguments | arguments_ |
Swaption::results | results_ |
Markov functional swaption engine.
All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise into right.
The float leg is simplified in the sense that it is worth $P(t,T_0)-P(t,T_1)$ with $T_0$ and $T_1$ being the start date and last payment date of the fixed leg schedule
Non zero spreads on the float leg is not allowed
Cash settled swaptions are not supported