[Quantlib-dev] [ quantlib-Patches-3555090 ] Irregular Swaption Pricing Engine

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Patches item #3555090, was opened at 2012-08-07 04:43
Message generated for change (Tracker Item Submitted) made by miemiec
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Irregular Swaption Pricing Engine

Initial Comment:
This code implements the method of Hunt / Kennedy (Finance Stochast. 2, 275–293 (1998)) to find the price of a irregular european swaption; 

For getting the code running one has to do some additional work on setting up  the instruments expected, i.e. an irregular swap and an irregular swaption. The irregular swap shall be  set up by using appropriate legs. Legs are used because here the irregular features can be specified easily. Therefore it  is basically derived from the swap and only altered in respect of adding the ususal Payer/Receiver specification.
For the same reason the swaption instrument must be alteres to make it working with this particular type of swap.


  

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