QuantLib_Gaussian1dJamshidianSwaptionEngine man page

Gaussian1dJamshidianSwaptionEngine — Jamshidian swaption engine.  


#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


class rStarFinder

Additional Inherited Members

Detailed Description

Jamshidian swaption engine.

Constructor & Destructor Documentation

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


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


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Referenced By

The man pages Gaussian1dJamshidianSwaptionEngine(3) and rStarFinder(3) are aliases of QuantLib_Gaussian1dJamshidianSwaptionEngine(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib