haganirregularswaptionengine.hpp File Reference

engine for pricing irregular swaptions via super-replication More...

#include <ql/experimental/swaptions/irregularswaption.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/math/optimization/costfunction.hpp>
#include <ql/instruments/makevanillaswap.hpp>

Go to the source code of this file.

Classes
class	HaganIrregularSwaptionEngine
	Pricing engine for irregular swaptions. More...
class	HaganIrregularSwaptionEngine::Basket

Namespaces
namespace	QuantLib

Detailed Description

engine for pricing irregular swaptions via super-replication

Definition in file haganirregularswaptionengine.hpp.