QuantLib_JamshidianSwaptionEngine man page

JamshidianSwaptionEngine — Jamshidian swaption engine.

Synopsis

#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

Friends

class rStarFinder

Additional Inherited Members

Detailed Description

Jamshidian swaption engine.

Warning

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>())

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

JamshidianSwaptionEngine(3) is an alias of QuantLib_JamshidianSwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib