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"ql/instruments/makeswaption"
MakeSwaption
Class MakeSwaption
helper class
This class provides a more comfortable way to instantiate standard market swaption.
Hierarchy
MakeSwaption
Implements
NullaryFunction
<
Swaption
>
Index
Properties
_delivery
_engine
_exercise
_exercise
Date
_fixing
Date
_option
Convention
_option
Tenor
_strike
_swap
Index
_underlying
Swap
_underlying
Type
Methods
f
init1
init2
with
Exercise
Date
with
Option
Convention
with
Pricing
Engine
with
Settlement
Type
with
Underlying
Type
Properties
Private
_delivery
_delivery
:
Type
Private
_engine
_engine
:
PricingEngine
Private
_exercise
_exercise
:
Exercise
Private
_exercise
Date
_exercise
Date
:
Date
Private
_fixing
Date
_fixing
Date
:
Date
Private
_option
Convention
_option
Convention
:
BusinessDayConvention
Private
_option
Tenor
_option
Tenor
:
Period
Private
_strike
_strike
:
Rate
Private
_swap
Index
_swap
Index
:
SwapIndex
Private
_underlying
Swap
_underlying
Swap
:
VanillaSwap
Private
_underlying
Type
_underlying
Type
:
Type
Methods
f
f
(
)
:
Swaption
Returns
Swaption
init1
init1
(
swapIndex
:
SwapIndex
, optionTenor
:
Period
, strike
?:
Rate
)
:
MakeSwaption
Parameters
swapIndex:
SwapIndex
optionTenor:
Period
Default value
strike:
Rate
= QL_NULL_REAL
Returns
MakeSwaption
init2
init2
(
swapIndex
:
SwapIndex
, fixingDate
:
Date
, strike
?:
Rate
)
:
MakeSwaption
Parameters
swapIndex:
SwapIndex
fixingDate:
Date
Default value
strike:
Rate
= QL_NULL_REAL
Returns
MakeSwaption
with
Exercise
Date
with
Exercise
Date
(
date
:
Date
)
:
MakeSwaption
Parameters
date:
Date
Returns
MakeSwaption
with
Option
Convention
with
Option
Convention
(
bdc
:
BusinessDayConvention
)
:
MakeSwaption
Parameters
bdc:
BusinessDayConvention
Returns
MakeSwaption
with
Pricing
Engine
with
Pricing
Engine
(
engine
:
PricingEngine
)
:
MakeSwaption
Parameters
engine:
PricingEngine
Returns
MakeSwaption
with
Settlement
Type
with
Settlement
Type
(
delivery
:
Type
)
:
MakeSwaption
Parameters
delivery:
Type
Returns
MakeSwaption
with
Underlying
Type
with
Underlying
Type
(
type
:
Type
)
:
MakeSwaption
Parameters
type:
Type
Returns
MakeSwaption
Globals
"ql/instruments/makeswaption"
Make
Swaption
_delivery
_engine
_exercise
_exercise
Date
_fixing
Date
_option
Convention
_option
Tenor
_strike
_swap
Index
_underlying
Swap
_underlying
Type
f
init1
init2
with
Exercise
Date
with
Option
Convention
with
Pricing
Engine
with
Settlement
Type
with
Underlying
Type
helper class
This class provides a more comfortable way to instantiate standard market swaption.