HaganIrregularSwaptionEngine Class Reference

Pricing engine for irregular swaptions. More...

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

Inheritance diagram for HaganIrregularSwaptionEngine:

Public Member Functions
	HaganIrregularSwaptionEngine (Handle< SwaptionVolatilityStructure >, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())
void	calculate () const override
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 override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	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 ()

Additional Inherited Members
Public Types inherited from Observer
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;

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.