JamshidianSwaptionEngine (3) Linux Manual Page
NAME
ql/pricingengines/swaption/jamshidianswaptionengine.hpp – Swaption engine using Jamshidian’s decomposition.
SYNOPSIS
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
Classes
class JamshidianSwaptionEngine
Jamshidian swaption engine.
Detailed Description
Swaption engine using Jamshidian’s decomposition.
Author
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