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<title>JamshidianSwaptionEngine Class Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><a class="el" href="class_quant_lib_1_1_jamshidian_swaption_engine.html">JamshidianSwaptionEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#friends">Friends</a> </div>
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<div class="title">JamshidianSwaptionEngine Class Reference<div class="ingroups"><a class="el" href="group__swaptionengines.html">Swaption engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::JamshidianSwaptionEngine" --><!-- doxytag: inherits="GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >" -->
<p>Jamshidian swaption engine.
<a href="class_quant_lib_1_1_jamshidian_swaption_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp></code></p>
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Inheritance diagram for JamshidianSwaptionEngine:</div>
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<map name="_jamshidian_swaption_engine_inherit__map" id="_jamshidian_swaption_engine_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_generic_model_engine.html" title="GenericModelEngine\< OneFactorAffineModel, Swaption::arguments, Swaption::results \>" alt="" coords="5,5,536,35"/></map>
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<p><a href="class_quant_lib_1_1_jamshidian_swaption_engine-members.html">List of all members.</a></p>
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Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_jamshidian_swaption_engine.html#a7d7af11a3b699b7c95584b713eb0d95e">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" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
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Friends</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab0a2f098de5f255b399b71ae199b3496"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::rStarFinder" ref="ab0a2f098de5f255b399b71ae199b3496" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>rStarFinder</b></td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Jamshidian swaption engine. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000101">Warning:</a></b></dt><dd>The engine assumes that the exercise date equals the start date of the passed swap. </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a35">BermudanSwaption.cpp</a>.</dd>
</dl></div><hr/><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" id="a7d7af11a3b699b7c95584b713eb0d95e"></a><!-- doxytag: member="QuantLib::JamshidianSwaptionEngine::JamshidianSwaptionEngine" ref="a7d7af11a3b699b7c95584b713eb0d95e" 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>
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<td></td>
<td>)</td>
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<dl class="note"><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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