JamshidianHullWhite
Subtype of Pricing MethodCorresponds to the QuantLib JamshidianSwaption Engine powered with a Hull White Model one factor short rate model.
SDE: dr = (θ - αr)dt + σdw
Semi-analytic implementation.
Corresponds to the QuantLib JamshidianSwaption Engine powered with a Hull White Model one factor short rate model.
SDE: dr = (θ - αr)dt + σdw
Semi-analytic implementation.