JamshidianSwaptionEngine Class Reference

Jamshidian swaption engine. More...

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

Inheritance diagram for JamshidianSwaptionEngine:

List of all members.

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.