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RQuantLib
AffineSwaption
AffineSwaption function
Affine swaption valuation using several short-rate models
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RQuantLib package
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Maintainer: Dirk Eddelbuettel
License: GPL (>= 2)
Last published: 2024-07-31
Useful links
https://github.com/eddelbuettel/rquantlib/issues
https://github.com/eddelbuettel/rquantlib
https://dirk.eddelbuettel.com/code/rquantlib.html