swaptionengines man page

swaptionengines — Swaption engines

Classes

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Info

Fri Sep 23 2016 Version 1.8.1 QuantLib