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... |