JamshidianSwaptionEngine (3) - Linux Manuals

JamshidianSwaptionEngine: Jamshidian swaption engine.

NAME

QuantLib::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

Detailed Description

Jamshidian swaption engine.

Warning

The engine assumes that the exercise date equals the start date of the passed swap.

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

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