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, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
void | calculate () const |
Friends | |
class | rStarFinder |
Constructor & Destructor Documentation
JamshidianSwaptionEngine | ( | const boost::shared_ptr< OneFactorAffineModel > & | model, | |
const Handle< YieldTermStructure > & | termStructure = Handle<YieldTermStructure>() | |||
) |
- Note:
- the term structure is only needed when the short-rate model cannot provide one itself.