QuantLib_HaganIrregularSwaptionEngine man page

HaganIrregularSwaptionEngine — Pricing engine for irregular swaptions.

Synopsis

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

Inherits GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >.

Public Member Functions

void calculate () const

Real HKPrice (Basket &basket, boost::shared_ptr< Exercise > &exercise) const

Real LGMPrice (Basket &basket, boost::shared_ptr< Exercise > &exercise) const
HaganIrregularSwaptionEngine (const Handle< SwaptionVolatilityStructure > &, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

Friends

class rStarFinder

Additional Inherited Members

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;

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HaganIrregularSwaptionEngine(3), HKPrice(3) and LGMPrice(3) are aliases of QuantLib_HaganIrregularSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib