QuantLib_IrregularSwaption man page

IrregularSwaption — Irregular Swaption class.


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

Inherits Option.


class arguments
Arguments for irregular-swaption calculation
class engine
base class for irregular-swaption engines

Public Member Functions

IrregularSwaption (const boost::shared_ptr< IrregularSwap > &swap, const boost::shared_ptr< Exercise > &exercise, IrregularSettlement::Type delivery=IrregularSettlement::Physical)

Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
implied volatility

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const


IrregularSettlement::Type settlementType () const

IrregularSwap::Type type () const

const boost::shared_ptr< IrregularSwap > & underlyingSwap () const

Additional Inherited Members

Detailed Description

Irregular Swaption class.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.


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Referenced By

IrregularSwaption(3) and settlementType(3) are aliases of QuantLib_IrregularSwaption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016