swaptionengines

Langue: en

Autres versions - même langue

Version: 374376 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

Swaption engines -

Classes


class LfmSwaptionEngine
Libor forward model swaption engine based on Black formula
class BlackSwaptionEngine
Black-formula swaption engine.
class G2SwaptionEngine
Swaption priced by means of the Black formula
class JamshidianSwaptionEngine
Jamshidian swaption engine.
class TreeSwaptionEngine
Numerical lattice engine for swaptions.

Author

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