Swaption engine using Jamshidian's decomposition. More...
#include <ql/instruments/swaption.hpp>#include <ql/models/shortrate/onefactormodel.hpp>#include <ql/pricingengines/genericmodelengine.hpp>
Classes | |
| class | JamshidianSwaptionEngine |
| Jamshidian swaption engine. More... | |
Swaption engine using Jamshidian's decomposition.