JamshidianSwaptionEngine (3) Linux Manual Page

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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