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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2006 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

#include <ql/PricingEngines/Swaption/lfmswaptionengine.hpp>

namespace QuantLib {

    void LfmSwaptionEngine::calculate() const {

                   "cash-settled swaptions not priced with Lfm engine");

        static const Spread basisPoint = 1.0e-4;
        const Time exercise = arguments_.stoppingTimes[0];
        const Time length   =  arguments_.fixedPayTimes.back()
                             - arguments_.fixedResetTimes[0];
        const Real w = arguments_.payFixed ? 1.0 : -1.0;
        const Volatility vol = model_->getSwaptionVolatilityMatrix()
                                           ->volatility(exercise, length,
        results_.value =  (arguments_.fixedBPS/basisPoint) *
                                 vol*std::sqrt(exercise), w);


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