ql/Pricers/jamshidianswaption.hpp File Reference


Detailed Description

Swaption pricer using Jamshidian's decomposition.

#include <ql/Pricers/swaptionpricer.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>

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Namespaces

namespace  QuantLib
namespace  QuantLib::Pricers

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