QuantLib_JamshidianSwaptionEngine man page

JamshidianSwaptionEngine — Jamshidian swaption engine.  


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

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

Public Member Functions

JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
void calculate () const


class rStarFinder

Additional Inherited Members

Detailed Description

Jamshidian swaption engine.


The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay

Examples: BermudanSwaption.cpp.

Constructor & Destructor Documentation

JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > & model, const Handle< YieldTermStructure > & termStructure = Handle<YieldTermStructure>())


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


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Referenced By

The man page JamshidianSwaptionEngine(3) is an alias of QuantLib_JamshidianSwaptionEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib