CommoditySwaptionBaseEngine Class Reference

Commodity Swaption Engine base class. More...

#include <qle/pricingengines/commodityswaptionengine.hpp>

Inheritance diagram for CommoditySwaptionBaseEngine:

Public Member Functions
	CommoditySwaptionBaseEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< QuantLib::BlackVolTermStructure > &vol, Real beta=0.0)

Protected Member Functions
QuantLib::Size	fixedLegIndex () const
QuantLib::Real	fixedLegValue (QuantLib::Size fixedLegIndex) const
	Give back the fixed leg price at the swaption expiry time.
QuantLib::Real	strike (QuantLib::Size fixedLegIndex) const
QuantLib::Real	rho (const QuantLib::Date &ed_1, const QuantLib::Date &ed_2) const
bool	averaging (QuantLib::Size floatLegIndex) const

Protected Attributes
Handle< YieldTermStructure >	discountCurve_
Handle< QuantLib::BlackVolTermStructure >	volStructure_
Real	beta_

Detailed Description

Commodity Swaption Engine base class.

Correlation is parametrized as rho(s, t) = exp(-beta * abs(s - t)) where s and t are times to futures expiry. This is described in detail in the ORE+ Product Catalogue.

Member Function Documentation

fixedLegIndex()

QuantLib::Size fixedLegIndex ( ) const

protected

Performs checks on the underlying swap to ensure that:

• it has two legs with a commodity fixed leg against a commodity floating leg
• every cashflow on the commodity floating leg is either averaging or non-averaging Returns the index of the commodity fixed leg. Based on the checks, the commodity floating leg is the other leg.

strike()

QuantLib::Real strike ( QuantLib::Size fixedLegIndex ) const

protected

Need a strike price when querying the volatility surface in certain calculations. We take this as the first fixed leg period amount divided by the first floating leg quantity.

rho()

QuantLib::Real rho ( const QuantLib::Date & ed_1, const QuantLib::Date & ed_2 ) const

protected

Return the correlation between two future expiry dates ed_1 and ed_2

averaging()

bool averaging ( QuantLib::Size floatLegIndex ) const

protected

Return true if floating leg is averaging, otherwise false.