Pricing engine for irregular swaptions. More...
#include <ql/experimental/swaptions/haganirregularswaptionengine.hpp>
Inheritance diagram for HaganIrregularSwaptionEngine: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 >()) | |
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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Friends | |
| class | rStarFinder |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::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_ |
Pricing engine for irregular swaptions.
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