Pricing engine for irregular swaptions. More...
#include <ql/experimental/swaptions/haganirregularswaptionengine.hpp>
Public Member Functions | |
HaganIrregularSwaptionEngine (const Handle< SwaptionVolatilityStructure > &, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
void | calculate () const |
Real | HKPrice (Basket &basket, ext::shared_ptr< Exercise > &exercise) const |
Real | LGMPrice (Basket &basket, ext::shared_ptr< Exercise > &exercise) const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Friends | |
class | rStarFinder |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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IrregularSwaption::arguments | arguments_ |
IrregularSwaption::results | results_ |
Pricing engine for irregular swaptions.
References:
P.J. Hunt, J.E. Kennedy: "Implied interest rate pricing models", Finance Stochast. 2, 275–293 (1998)