QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
engine for pricing irregular swaptions via super-replication
Definition in file haganirregularswaptionengine.hpp.