QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Friends | List of all members
Gaussian1dJamshidianSwaptionEngine Class Reference

Jamshidian swaption engine. More...

#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>

+ Inheritance diagram for Gaussian1dJamshidianSwaptionEngine:

Public Member Functions

 Gaussian1dJamshidianSwaptionEngine (const ext::shared_ptr< Gaussian1dModel > &model)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >
 GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >())
 
 GenericModelEngine (const ext::shared_ptr< Gaussian1dModel > &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< 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< Gaussian1dModel, Swaption::arguments, Swaption::results >
Handle< Gaussian1dModelmodel_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

Jamshidian swaption engine.

Constructor & Destructor Documentation

◆ Gaussian1dJamshidianSwaptionEngine()

Gaussian1dJamshidianSwaptionEngine ( const ext::shared_ptr< Gaussian1dModel > &  model)
Note
the term structure is only needed when the short-rate model cannot provide one itself.