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Class Gaussian1dNonstandardSwaptionEngine

One factor model non standard 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.

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

For redemption flows an associated start date is considered in the criterion, which is the start date of the regular xcoupon period with same payment date as the redemption flow.

warning

Cash settled swaptions are not supported

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

_discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _extrapolatePayoff

_extrapolatePayoff: boolean

Private _flatPayoffExtrapolation

_flatPayoffExtrapolation: boolean

Private _integrationPoints

_integrationPoints: Integer

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<Gaussian1dModel>

_oas

_oas: Handle<Quote>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_onefactormodel

_onefactormodel: Handle<Gaussian1dModel>

Private _probabilities

_probabilities: Probabilities

_results

_results: Results

Private _stddevs

_stddevs: Real

bgeInit1

bgeInit1: (model: Gaussian1dModel, oas: Handle<Quote>, discountCurve: Handle<YieldTermStructure>) => BasketGeneratingEngine

Type declaration

bgeInit2

bgeInit2: (model: Handle<Gaussian1dModel>, oas: Handle<Quote>, discountCurve: Handle<YieldTermStructure>) => BasketGeneratingEngine

Type declaration

calibrationBasket

calibrationBasket: (exercise: Exercise, standardSwapBase: SwapIndex, swaptionVolatility: SwaptionVolatilityStructure, basketType?: CalibrationBasketType) => CalibrationHelper[]

Type declaration

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

getArguments

getArguments: () => Arguments

Type declaration

    • (): Arguments

    • Returns Arguments

getResults

getResults: () => Results

Type declaration

init1

init1: (model: Handle<Gaussian1dModel>) => GenericModelEngine<Gaussian1dModel, Arguments, Results>

Type declaration

init2

init2: (model: Gaussian1dModel) => GenericModelEngine<Gaussian1dModel, Arguments, Results>

Type declaration

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

reset

reset: () => void

Type declaration

    • (): void

    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

g1dnsseInit1

  • Parameters

    • model: Gaussian1dModel
    • Default value integrationPoints: Integer = 64
    • Default value stddevs: Real = 7
    • Default value extrapolatePayoff: boolean = true
    • Default value flatPayoffExtrapolation: boolean = false
    • Default value oas: Handle<Quote> = new Handle()
    • Default value discountCurve: Handle<YieldTermStructure> = new Handle()
    • Default value probabilities: Probabilities = Gaussian1dNonstandardSwaptionEngine.Probabilities.None

    Returns Gaussian1dNonstandardSwaptionEngine

g1dnsseInit2

initialGuess

  • initialGuess(expiry: Date): Real[]

underlyingLastDate

  • underlyingLastDate(): Date

underlyingNpv

  • underlyingNpv(expiry: Date, y: Real): Real

underlyingType

  • underlyingType(): Type