JamshidianSwaptionEngine Class Reference
[Swaption engines]

#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>

Inheritance diagram for JamshidianSwaptionEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Jamshidian swaption engine.

Warning:
The engine assumes that the exercise date equals the start date of the passed swap.
Examples:

BermudanSwaption.cpp.


Public Member Functions

 JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model)
void calculate () const

Friends

class rStarFinder