ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp File Reference


Detailed Description

Swaption engine using Jamshidian's decomposition.

#include <ql/Instruments/swaption.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>

Include dependency graph for jamshidianswaptionengine.hpp:

Include dependency graph

Namespaces

namespace  QuantLib

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