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| SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
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| SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
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| SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
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QL_DEPRECATED | SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift) |
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QL_DEPRECATED | SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift) |
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QL_DEPRECATED | SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift) |
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virtual void | addTimesTo (std::list< Time > ×) const |
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virtual Real | modelValue () const |
| returns the price of the instrument according to the model
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virtual Real | blackPrice (Volatility volatility) const |
| Black or Bachelier price given a volatility.
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boost::shared_ptr< VanillaSwap > | underlyingSwap () const |
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boost::shared_ptr< Swaption > | swaption () const |
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| CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) |
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Handle< Quote > | volatility () |
| returns the volatility Handle
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Real | marketValue () const |
| returns the actual price of the instrument (from volatility)
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virtual Real | calibrationError () |
| returns the error resulting from the model valuation
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Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
| Black volatility implied by the model.
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void | setPricingEngine (const boost::shared_ptr< PricingEngine > &engine) |
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void | update () |
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void | recalculate () |
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void | freeze () |
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void | unfreeze () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
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void | registerWithObservables (const boost::shared_ptr< Observer > &) |
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Size | unregisterWith (const boost::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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calibration helper for ATM swaption
- Examples:
- BermudanSwaption.cpp.