QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054. More...
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | JamshidianSwaptionEngine |
Jamshidian swaption engine. More... | |
Namespaces | |
namespace | QuantLib |
Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054.
Definition in file jamshidianswaptionengine.hpp.