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Sourcecode: quantlib version File versions

jamshidianswaptionengine.hpp File Reference


Detailed Description

Swaption engine using Jamshidian's decomposition.

Definition in file jamshidianswaptionengine.hpp.

#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


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