JamshidianSwaption Class Reference

#include <ql/PricingEngines/Swaption/jamshidianswaption.hpp>

Inheritance diagram for JamshidianSwaption:

Inheritance graph
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List of all members.

Detailed Description

Jamshidian swaption pricer.


Public Member Functions

 JamshidianSwaption (const Handle< OneFactorAffineModel > &modl)
void calculate () const

Friends

class rStarFinder


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