swaptionengines man page




class LfmSwaptionEngine
Libor forward model swaption engine based on Black formula
class BlackSwaptionEngine
Shifted Lognormal Black-formula swaption engine.
class BachelierSwaptionEngine
Normal Bachelier-formula swaption engine.
class G2SwaptionEngine
Swaption priced by means of the Black formula
class Gaussian1dFloatFloatSwaptionEngine
One factor model float float swaption engine.
class Gaussian1dJamshidianSwaptionEngine
Jamshidian swaption engine.
class Gaussian1dNonstandardSwaptionEngine
One factor model non standard swaption engine.
class Gaussian1dSwaptionEngine
One factor model swaption engine.
class JamshidianSwaptionEngine
Jamshidian swaption engine.
class TreeSwaptionEngine
Numerical lattice engine for swaptions.

Detailed Description


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Wed Feb 7 2018 Version 1.10.1 QuantLib