ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp File Reference
Detailed Description
Swaption engine using Jamshidian's decomposition.
#include <ql/qldefines.hpp>
#include <ql/Instruments/swaption.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
Include dependency graph for jamshidianswaptionengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | JamshidianSwaptionEngine |
Jamshidian swaption engine. More... |