Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054. More...
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
Classes | |
class | JamshidianSwaptionEngine |
Jamshidian swaption engine. More... | |
Namespaces | |
QuantLib | |
Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054.