BlackSwaptionEngineDeltaGamma Class Reference

Shifted Lognormal Black-formula swaption engine. More...

#include <qle/pricingengines/blackswaptionenginedeltagamma.hpp>

Inheritance diagram for BlackSwaptionEngineDeltaGamma:

Public Member Functions
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
	BlackSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
Public Member Functions inherited from BlackStyleSwaptionEngineDeltaGamma< detail::Black76Spec >
	BlackStyleSwaptionEngineDeltaGamma (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, const std::vector< Time > &bucketTimesDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaOpt=std::vector< Time >(), const std::vector< Time > &bucketTimesVegaUnd=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
void	calculate () const override
Handle< YieldTermStructure >	termStructure ()
Handle< SwaptionVolatilityStructure >	volatility ()

Detailed Description

Shifted Lognormal Black-formula swaption engine.

Warning

The engine assumes that the exercise date equals the start date of the passed swap.