QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
swaption Directory Reference

Files

file  basketgeneratingengine.hpp
 base class for pricing engines capable of generating a calibration basket
 
file  blackswaptionengine.hpp
 Black-formula swaption engine.
 
file  discretizedswaption.hpp
 Discretized swaption class.
 
file  fdg2swaptionengine.hpp
 finite differences swaption engine
 
file  fdhullwhiteswaptionengine.hpp
 finite differences swaption engine
 
file  g2swaptionengine.hpp
 Swaption pricing engine for two-factor additive Gaussian Model G2++.
 
file  gaussian1dfloatfloatswaptionengine.hpp
 float float swaption engine for one factor interest rate models
 
file  gaussian1djamshidianswaptionengine.hpp
 Swaption engine using Jamshidian's decomposition.
 
file  gaussian1dnonstandardswaptionengine.hpp
 
file  gaussian1dswaptionengine.hpp
 
file  jamshidianswaptionengine.hpp
 Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054.
 
file  treeswaptionengine.hpp
 Numerical lattice engine for swaptions.