HaganIrregularSwaptionEngine::Basket Class Reference

#include <ql/experimental/swaptions/haganirregularswaptionengine.hpp>

Collaboration diagram for HaganIrregularSwaptionEngine::Basket:

Public Member Functions
	Basket (ext::shared_ptr< IrregularSwap > swap, Handle< YieldTermStructure > termStructure, Handle< SwaptionVolatilityStructure > volatilityStructure)
Array	compute (Rate lambda=0.0) const
Real	operator() (Rate x) const
ext::shared_ptr< VanillaSwap >	component (Size i) const
Array	weights () const
Real &	lambda () const
ext::shared_ptr< IrregularSwap >	swap () const

Private Attributes
ext::shared_ptr< IrregularSwap >	swap_
Handle< YieldTermStructure >	termStructure_
Handle< SwaptionVolatilityStructure >	volatilityStructure_
Real	targetNPV_ = 0.0
ext::shared_ptr< PricingEngine >	engine_
std::vector< Real >	fairRates_
std::vector< Real >	annuities_
std::vector< Date >	expiries_
Real	lambda_ = 0.0

Detailed Description

Definition at line 60 of file haganirregularswaptionengine.hpp.

Constructor & Destructor Documentation

Basket()

Basket	(	ext::shared_ptr< IrregularSwap >	swap,
		Handle< YieldTermStructure >	termStructure,
		Handle< SwaptionVolatilityStructure >	volatilityStructure
	)

Definition at line 38 of file haganirregularswaptionengine.cpp.

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Member Function Documentation

compute()

Array compute

(

Rate

lambda = 0.0

)

const

Definition at line 107 of file haganirregularswaptionengine.cpp.

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operator()()

Real operator()

(

Rate

x

)

const

Definition at line 167 of file haganirregularswaptionengine.cpp.

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component()

ext::shared_ptr< VanillaSwap > component

(

Size

i

)

const

Definition at line 181 of file haganirregularswaptionengine.cpp.

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weights()

Array weights

(

)

const

Definition at line 68 of file haganirregularswaptionengine.hpp.

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lambda()

Real & lambda

(

)

const

Definition at line 69 of file haganirregularswaptionengine.hpp.

swap()

ext::shared_ptr< IrregularSwap > swap

(

)

const

Definition at line 71 of file haganirregularswaptionengine.hpp.

Member Data Documentation

swap_

ext::shared_ptr<IrregularSwap> swap_

private

Definition at line 73 of file haganirregularswaptionengine.hpp.

termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 74 of file haganirregularswaptionengine.hpp.

volatilityStructure_

Handle<SwaptionVolatilityStructure> volatilityStructure_

private

Definition at line 75 of file haganirregularswaptionengine.hpp.

targetNPV_

Real targetNPV_ = 0.0

private

Definition at line 77 of file haganirregularswaptionengine.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 79 of file haganirregularswaptionengine.hpp.

fairRates_

std::vector<Real> fairRates_

private

Definition at line 81 of file haganirregularswaptionengine.hpp.

annuities_

std::vector<Real> annuities_

private

Definition at line 82 of file haganirregularswaptionengine.hpp.

expiries_

std::vector<Date> expiries_

private

Definition at line 83 of file haganirregularswaptionengine.hpp.

lambda_

Real lambda_ = 0.0

mutableprivate

Definition at line 85 of file haganirregularswaptionengine.hpp.