Commodity Swaption Monte Carlo Engine. More...
#include <qle/pricingengines/commodityswaptionengine.hpp>
Public Member Functions | |
CommoditySwaptionMonteCarloEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< QuantLib::BlackVolTermStructure > &vol, Size samples, Real beta=0.0, const Size seed=42) | |
void | calculate () const override |
Public Member Functions inherited from CommoditySwaptionBaseEngine | |
CommoditySwaptionBaseEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< QuantLib::BlackVolTermStructure > &vol, Real beta=0.0) | |
Additional Inherited Members | |
Protected Member Functions inherited from CommoditySwaptionBaseEngine | |
QuantLib::Size | fixedLegIndex () const |
QuantLib::Real | fixedLegValue (QuantLib::Size fixedLegIndex) const |
Give back the fixed leg price at the swaption expiry time. | |
QuantLib::Real | strike (QuantLib::Size fixedLegIndex) const |
QuantLib::Real | rho (const QuantLib::Date &ed_1, const QuantLib::Date &ed_2) const |
bool | averaging (QuantLib::Size floatLegIndex) const |
Protected Attributes inherited from CommoditySwaptionBaseEngine | |
Handle< YieldTermStructure > | discountCurve_ |
Handle< QuantLib::BlackVolTermStructure > | volStructure_ |
Real | beta_ |
Commodity Swaption Monte Carlo Engine.
Monte Carlo implementation of the Swaption payoff for as documented in ORE+ Product Catalogue. Reference: Iain Clark, Commodity Option Pricing, Wiley, section 2.8