jamshidianswaptionengine.hpp File Reference

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

Detailed Description

Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054.

Definition in file jamshidianswaptionengine.hpp.