MarkovFunctionalSwaptionEngine Class Reference

Markov functional swaption engine. More...

#include <ql/experimental/models/markovfunctionalswaptionengine.hpp>

Inheritance diagram for MarkovFunctionalSwaptionEngine:

Public Member Functions
	MarkovFunctionalSwaptionEngine (const boost::shared_ptr< MarkovFunctional > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false)
void	calculate () const
Public Member Functions inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
	GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &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 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< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Public Attributes inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
	__pad0__
Protected Attributes inherited from GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results >
Handle< MarkovFunctional >	model_
Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments	arguments_
Swaption::results	results_

Detailed Description

Markov functional swaption engine.

All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise into right.

Warning:

The float leg is simplified in the sense that it is worth $P(t,T_0)-P(t,T_1)$ with $T_0$ and $T_1$ being the start date and last payment date of the fixed leg schedule

Non zero spreads on the float leg is not allowed

Cash settled swaptions are not supported