QuantLib_Gaussian1dJamshidianSwaptionEngine man page

Gaussian1dJamshidianSwaptionEngine — Jamshidian swaption engine.

Synopsis

#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>

Inherits GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results >.

Public Member Functions

Gaussian1dJamshidianSwaptionEngine (const boost::shared_ptr< Gaussian1dModel > &model)

void calculate () const

Friends

class rStarFinder

Additional Inherited Members

Detailed Description

Jamshidian swaption engine.

Constructor & Destructor Documentation

Gaussian1dJamshidianSwaptionEngine (const boost::shared_ptr< Gaussian1dModel > & model)

Note:

the term structure is only needed when the short-rate model cannot provide one itself.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Gaussian1dJamshidianSwaptionEngine(3) and rStarFinder(3) are aliases of QuantLib_Gaussian1dJamshidianSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib