QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
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.