25#ifndef quantlib_hagan_irregular_swaption_engine_hpp
26#define quantlib_hagan_irregular_swaption_engine_hpp
50 IrregularSwaption::results> {
71 ext::shared_ptr<IrregularSwap>
swap()
const {
return swap_; };
73 ext::shared_ptr<IrregularSwap>
swap_;
1-D array used in linear algebra.
template base class for option pricing engines
std::vector< Real > annuities_
std::vector< Real > fairRates_
ext::shared_ptr< IrregularSwap > swap_
ext::shared_ptr< IrregularSwap > swap() const
std::vector< Date > expiries_
Array compute(Rate lambda=0.0) const
Handle< SwaptionVolatilityStructure > volatilityStructure_
ext::shared_ptr< VanillaSwap > component(Size i) const
ext::shared_ptr< PricingEngine > engine_
Handle< YieldTermStructure > termStructure_
Real operator()(Rate x) const
Pricing engine for irregular swaptions.
Real LGMPrice(Basket &basket, ext::shared_ptr< Exercise > &exercise) const
void calculate() const override
Real HKPrice(Basket &basket, ext::shared_ptr< Exercise > &exercise) const
Handle< SwaptionVolatilityStructure > volatilityStructure_
Handle< YieldTermStructure > termStructure_
Shared handle to an observable.
Optimization cost function class.
std::size_t Size
size of a container
Irregular swaption class.
Helper class to instantiate standard market swaps.
Swaption volatility structure.
Interest-rate term structure.