QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
swaptions Directory Reference

Files

file  haganirregularswaptionengine.hpp
 engine for pricing irregular swaptions via super-replication
 
file  irregularswap.hpp
 Irregular fixed-rate vs Libor swap.
 
file  irregularswaption.hpp
 Irregular swaption class.