Class BasketGeneratingEngine
- Namespace
- NanoQL.PricingEngines
- Assembly
- NanoQL.dll
The base of the pricing engines that generate a calibration basket: per live exercise date, a standard swaption matching the underlying's value, delta and gamma in the model's state, or the at-the-money coterminal one.
public abstract class BasketGeneratingEngine- Inheritance
-
BasketGeneratingEngine
- Derived
- Inherited Members
Remarks
The generated calibrating swaptions have a strike floored at 0.1bp (minus the lognormal shift, if applicable); this is not true for at-the-money swaptions, whose strike the swaption helper generates. The standard swap base index should have forwarding and discounting curves, which the helpers' market prices read, so the model's prices in a calibration must read the same curves; the volatility structure should be consistent with them, and the engine's discount curve should be the index's discounting curve.
Immutable; the derived engines (Gaussian1dNonstandardSwaptionEngine and the float-float one) bind the
underlying an instrument gives, where QuantLib's read the arguments they hold. A flipped match, a negative nominal
read as the other swap type, gives its helper the nominal's size, where QuantLib floors the signed nominal at 1e-6
first and so gives 1e-6 (basketgeneratingengine.cpp:213-214, :230).
Properties
DiscountCurve
Gets the discount curve; null for the model's.
public YieldTermStructure? DiscountCurve { get; }Property Value
Model
Gets the model.
public Gaussian1dModel Model { get; }Property Value
Oas
Gets the option-adjusted spread, continuously compounded on the model curve's day counter; null for none, QuantLib's empty handle.
public double? Oas { get; }