gaussian1djamshidianswaptionengine.hpp File Reference

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

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

Go to the source code of this file.

Classes
class	Gaussian1dJamshidianSwaptionEngine
	Jamshidian swaption engine. More...

Namespaces
namespace	QuantLib

Detailed Description

Swaption engine using Jamshidian's decomposition.

Definition in file gaussian1djamshidianswaptionengine.hpp.