CommoditySwaptionMonteCarloEngine Class Reference

Commodity Swaption Monte Carlo Engine. More...

#include <qle/pricingengines/commodityswaptionengine.hpp>

Inheritance diagram for CommoditySwaptionMonteCarloEngine:

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_

Detailed Description

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