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jamshidianswaptionengine.hpp File Reference

Swaption engine using Jamshidian's decomposition. More...

#include <ql/qldefines.hpp>
#include <ql/Instruments/swaption.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
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Classes

class  QuantLib::JamshidianSwaptionEngine
 Jamshidian swaption engine. More...

Detailed Description

Swaption engine using Jamshidian's decomposition.

Definition in file jamshidianswaptionengine.hpp.


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