- 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>() |
||
| ) |