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| BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) |
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| BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) |
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| BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) |
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QL_DEPRECATED | BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement) |
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QL_DEPRECATED Real | displacement () |
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| BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) |
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| BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0) |
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| BlackStyleSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, Real displacement=Null< Real >()) |
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void | calculate () const |
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Handle< YieldTermStructure > | termStructure () |
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Handle< SwaptionVolatilityStructure > | volatility () |
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PricingEngine::arguments * | getArguments () const |
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const PricingEngine::results * | getResults () const |
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void | reset () |
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void | update () |
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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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Shifted Lognormal Black-formula swaption engine.
- Warning:
- The engine assumes that the exercise date equals the start date of the passed swap.