QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Attributes | List of all members
BlackStyleSwaptionEngine< Spec > Class Template Reference

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

+ Inheritance diagram for BlackStyleSwaptionEngine< Spec >:

Public Member Functions

 BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement=Null< Real >())
 
void calculate () const
 
Handle< YieldTermStructuretermStructure ()
 
Handle< SwaptionVolatilityStructurevolatility ()
 
- 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 boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Attributes

Real displacement_
 
- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

template<class Spec>
class QuantLib::detail::BlackStyleSwaptionEngine< Spec >

Generic Black-style-formula swaption engine This is the base class for the Black and Bachelier swaption engines

Constructor & Destructor Documentation

BlackStyleSwaptionEngine ( const Handle< YieldTermStructure > &  discountCurve,
const Handle< SwaptionVolatilityStructure > &  vol,
Real  displacement = Null<Real>() 
)

if displacement is Null<Real>(), it is read from the volatility structure, the parameter can be removed once the deprecated methods overriding the displacement are deleted