JamshidianSwaptionEngine Class Reference
[Swaption engines]
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
Inheritance diagram for JamshidianSwaptionEngine:

Detailed Description
Jamshidian swaption engine.
- Warning:
- The engine assumes that the exercise date equals the start date of the passed swap.
- Examples:
Public Member Functions | |
JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model) | |
void | calculate () const |
Friends | |
class | rStarFinder |