Pricing engine for irregular swaptions. More...

#include <haganirregularswaptionengine.hpp>

Inheritance diagram for HaganIrregularSwaptionEngine:

Collaboration diagram for HaganIrregularSwaptionEngine:

Classes
class	Basket

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 PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Private Attributes
Handle< YieldTermStructure >	termStructure_

Handle< SwaptionVolatilityStructure >	volatilityStructure_

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:

P.S. Hagan: "Methodology for Callable Swaps and Bermudan 'Exercise into Swaptions'"
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;

Definition at line 48 of file haganirregularswaptionengine.hpp.

Constructor & Destructor Documentation

◆ HaganIrregularSwaptionEngine()

HaganIrregularSwaptionEngine	(	Handle< SwaptionVolatilityStructure >	volatilityStructure,
		Handle< YieldTermStructure >	termStructure = `Handle<YieldTermStructure>()`
	)