ql/Pricers/jamshidianswaption.cpp File Reference


Detailed Description

Swaption pricer using Jamshidian's decomposition.

#include "ql/Pricers/jamshidianswaption.hpp"
#include "ql/Solvers1D/brent.hpp"

Include dependency graph for jamshidianswaption.cpp:

Include dependency graph

Namespaces

namespace  QuantLib
namespace  QuantLib::Pricers

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