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Class Gaussian1dSwaptionEngine

One factor model 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

Cash settled swaptions are not supported

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _discountCurve

_discountCurve: Handle<YieldTermStructure>

Private _extrapolatePayoff

_extrapolatePayoff: boolean

Private _flatPayoffExtrapolation

_flatPayoffExtrapolation: boolean

Private _integrationPoints

_integrationPoints: Integer

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<Gaussian1dModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _probabilities

_probabilities: Probabilities

_results

_results: Results

Private _stddevs

_stddevs: Real

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

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

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

g1dseInit1

  • 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 discountCurve: Handle<YieldTermStructure> = new Handle()
    • Default value probabilities: Probabilities = Gaussian1dSwaptionEngine.Probabilities.None

    Returns Gaussian1dSwaptionEngine

g1dseInit2

  • Parameters

    • model: Handle<Gaussian1dModel>
    • Default value integrationPoints: Integer = 64
    • Default value stddevs: Real = 7
    • Default value extrapolatePayoff: boolean = true
    • Default value flatPayoffExtrapolation: boolean = false
    • Default value discountCurve: Handle<YieldTermStructure> = new Handle()
    • Default value probabilities: Probabilities = Gaussian1dSwaptionEngine.Probabilities.None

    Returns Gaussian1dSwaptionEngine

getArguments

getResults

init1

init2

reset

  • reset(): void

update

  • update(): void