swaption Directory Reference

Files

file  blackswaptionengine.hpp
 Black-formula swaption engine.
 
file  discretizedswaption.hpp
 Discretized swaption class.
 
file  g2swaptionengine.hpp
 Swaption pricing engine for two-factor additive Gaussian Model G2++.
 
file  jamshidianswaptionengine.hpp
 Swaption engine using Jamshidian's decomposition.
 
file  treeswaptionengine.hpp
 Numerical lattice engine for swaptions.