QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Friends | List of all members
HaganIrregularSwaptionEngine Class Reference

Pricing engine for irregular swaptions. More...

#include <ql/experimental/swaptions/haganirregularswaptionengine.hpp>

+ Inheritance diagram for HaganIrregularSwaptionEngine:

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
 
- Public Member Functions inherited from GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >
IrregularSwaption::arguments arguments_
 
IrregularSwaption::results results_
 

Detailed Description

Pricing engine for irregular swaptions.

References:

  1. P.S. Hagan: "Methodology for Callable Swaps and Bermudan 'Exercise into Swaptions'"
  2. P.J. Hunt, J.E. Kennedy: "Implied interest rate pricing models", Finance Stochast. 2, 275–293 (1998)

    Warning:
    Currently a spread is not handled correctly; it should be a minor exercise to account for this feature as well;