jamshidianswaptionengine.hpp

Langue: en

Autres versions - même langue

Version: 376287 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/swaption/jamshidianswaptionengine.hpp -

Swaption engine using Jamshidian's decomposition.

SYNOPSIS


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

Classes


class JamshidianSwaptionEngine
Jamshidian swaption engine.

Detailed Description

Swaption engine using Jamshidian's decomposition.

Author

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