Jamshidian swaption engine. More...
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
Inheritance diagram for JamshidianSwaptionEngine:Public Member Functions | |
| JamshidianSwaptionEngine (const ext::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > | |
| GenericModelEngine (const Handle< OneFactorAffineModel > &model=Handle< OneFactorAffineModel >()) | |
| GenericModelEngine (const ext::shared_ptr< OneFactorAffineModel > &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 PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (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< OneFactorAffineModel, Swaption::arguments, Swaption::results > | |
| Handle< OneFactorAffineModel > | model_ |
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results > | |
| Swaption::arguments | arguments_ |
| Swaption::results | results_ |
Jamshidian swaption engine.
| JamshidianSwaptionEngine | ( | const ext::shared_ptr< OneFactorAffineModel > & | model, |
| const Handle< YieldTermStructure > & | termStructure = Handle<YieldTermStructure>() |
||
| ) |