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<title>QuantLib: JamshidianSwaptionEngine Class Reference</title>
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<h1>JamshidianSwaptionEngine Class Reference<br>
<small>
[<a class="el" href="group__swaptionengines.html">Swaption engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::JamshidianSwaptionEngine" --><!-- doxytag: inherits="QuantLib::GenericModelEngine" --><code>#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp></code>
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Inheritance diagram for JamshidianSwaptionEngine:</div>
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<map name="_jamshidian_swaption_engine__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_generic_model_engine.html" title="Base class for some pricing engine on a particular model." alt="" coords="7,5,809,32"></map>
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<a href="class_quant_lib_1_1_jamshidian_swaption_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Jamshidian swaption engine.
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000086">Warning:</a></b></dt><dd>The engine assumes that the exercise date equals the start date of the passed swap. </dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_bermudan_swaption_8cpp-example.html#_a33">BermudanSwaption.cpp</a>.</dl><table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_jamshidian_swaption_engine.html#7d7af11a3b699b7c95584b713eb0d95e">JamshidianSwaptionEngine</a> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html">OneFactorAffineModel</a> > &model, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b0a2f098de5f255b399b71ae199b3496"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::rStarFinder" ref="b0a2f098de5f255b399b71ae199b3496" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>rStarFinder</b></td></tr>
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<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="7d7af11a3b699b7c95584b713eb0d95e"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::JamshidianSwaptionEngine" ref="7d7af11a3b699b7c95584b713eb0d95e" args="(const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_jamshidian_swaption_engine.html">JamshidianSwaptionEngine</a> </td>
<td>(</td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html">OneFactorAffineModel</a> > & </td>
<td class="paramname"> <em>model</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"> <em>termStructure</em> = <code><a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><<a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a>>()</code></td><td> </td>
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<td>)</td>
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<dl class="note" compact><dt><b>Note:</b></dt><dd>the term structure is only needed when the short-rate model cannot provide one itself. </dd></dl>
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