jamshidianswaptionengine.hpp File Reference

Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054. More...

Include dependency graph for jamshidianswaptionengine.hpp:

Classes

class  JamshidianSwaptionEngine
 Jamshidian swaption engine. More...
 

Namespaces

 QuantLib
 

Detailed Description

Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054.