ql/pricingengines/swaption/jamshidianswaptionengine.hpp File Reference


Detailed Description

Swaption engine using Jamshidian's decomposition.

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

Include dependency graph for jamshidianswaptionengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  JamshidianSwaptionEngine
 Jamshidian swaption engine. More...