JamshidianExtendedCIR

Subtype of Pricing Method

Corresponds to the QuantLib JamshidianSwaption Engine powered with a Extended CIR Model one factor short rate model.
Formula: r(t) = μ(t) + r΄(t)
where r΄ is as in the CIR model and μ(t) is the deterministic time-dependent parameter used for term-structure fitting.
Semi-analytic implementation.
QuantLib warning: This class was not tested enough to guarantee its functionality.