JamshidianVasicek
Subtype of Pricing MethodCorresponds to the QuantLib JamshidianSwaption Engine powered with a Vasicek Model one factor short rate model.
SDE: dr = a(b - r)dt + σdw
Semi-analytic implementation.
Corresponds to the QuantLib JamshidianSwaption Engine powered with a Vasicek Model one factor short rate model.
SDE: dr = a(b - r)dt + σdw
Semi-analytic implementation.