Table of Contents

Enum Gaussian1dFloatFloatSwaptionEngineProbabilities

Namespace
NanoQL.PricingEngines
Assembly
NanoQL.dll

Which exercise probabilities the Gaussian1d float-float swaption engine computes: QuantLib's Gaussian1dFloatFloatSwaptionEngine::Probabilities.

public enum Gaussian1dFloatFloatSwaptionEngineProbabilities

Fields

Digital = 2

The digitals' probabilities: each exercise's indicator deflated by the discount to its date.

Naive = 1

Naive probabilities: each exercise's indicator rolled back undiscounted.

None = 0

None.