- QuantLib
- JamshidianSwaptionEngine
Jamshidian swaption engine. More...
#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp>
Public Member Functions | |
JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
void | calculate () const |
Friends | |
class | rStarFinder |
Jamshidian swaption engine.
JamshidianSwaptionEngine | ( | const boost::shared_ptr< OneFactorAffineModel > & | model, |
const Handle< YieldTermStructure > & | termStructure = Handle<YieldTermStructure>() |
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) |