QuantLib 0.3.11
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Reference manual
ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp File Reference
Detailed Description
Swaption engine using Jamshidian's decomposition.
#include <ql/qldefines.hpp>
#include <ql/Instruments/swaption.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
Include dependency graph for jamshidianswaptionengine.hpp:
Namespaces | |
| namespace | QuantLib |
Classes | |
| class | JamshidianSwaptionEngine |
| Jamshidian swaption engine. More... | |
