QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
pricingengines
swaption
swaption Directory Reference
Files
file
basketgeneratingengine.cpp
[code]
file
basketgeneratingengine.hpp
[code]
base class for pricing engines capable of generating a calibration basket
file
blackswaptionengine.cpp
[code]
file
blackswaptionengine.hpp
[code]
Black-formula swaption engine.
file
discretizedswaption.cpp
[code]
file
discretizedswaption.hpp
[code]
Discretized swaption class.
file
fdg2swaptionengine.cpp
[code]
file
fdg2swaptionengine.hpp
[code]
finite differences swaption engine
file
fdhullwhiteswaptionengine.cpp
[code]
file
fdhullwhiteswaptionengine.hpp
[code]
finite differences swaption engine
file
g2swaptionengine.hpp
[code]
Swaption pricing engine for two-factor additive Gaussian Model G2++.
file
gaussian1dfloatfloatswaptionengine.cpp
[code]
file
gaussian1dfloatfloatswaptionengine.hpp
[code]
float float swaption engine for one factor interest rate models
file
gaussian1djamshidianswaptionengine.cpp
[code]
file
gaussian1djamshidianswaptionengine.hpp
[code]
Swaption engine using Jamshidian's decomposition.
file
gaussian1dnonstandardswaptionengine.cpp
[code]
file
gaussian1dnonstandardswaptionengine.hpp
[code]
file
gaussian1dswaptionengine.cpp
[code]
file
gaussian1dswaptionengine.hpp
[code]
file
jamshidianswaptionengine.cpp
[code]
file
jamshidianswaptionengine.hpp
[code]
Swaption engine using Jamshidian's decomposition Concerning the start delay cf.
http://ssrn.com/abstract=2246054
.
file
treeswaptionengine.cpp
[code]
file
treeswaptionengine.hpp
[code]
Numerical lattice engine for swaptions.
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