MarkovFunctionalSwaptionEngine Class Reference

Markov functional swaption engine. More...

#include <ql/experimental/models/markovfunctionalswaptionengine.hpp>

Inheritance diagram for MarkovFunctionalSwaptionEngine:

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
 
- Public Member Functions inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
 GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &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 Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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

- Public Attributes inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
 __pad0__
 
- Protected Attributes inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
Handle< MarkovFunctionalmodel_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

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.

Warning:

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