Gaussian1d
Subtype of Pricing MethodCorresponds to the QuantLib Gaussian1dSwaption Engine powered with a one-dimensional gaussian short rate model.
Here the user must also supply an object of type Gaussian 1d Model containing the volatility and mean reversion parameters that specify the exact dynamics of the short rate diffusion.
Optionally the Gaussian 1d Model may be calibarated so that its parameters are compatible with a given set of market volatilities.
The calibration is achieved through the local functionCalibrate.
An VanillaOption Adjusted Spread may be also defined in situations where credit spreads are involved.
An example would be a bermudan callable fixed bond, of which the call right may be priced if viewed as a swaption to enter into a one leg swap with notional reimbursement at maturity and an exercise-linked rebate paying the notional.