LfmSwaptionEngine (3) Linux Manual Page

ql/legacy/libormarketmodels/lfmswaptionengine.hpp – libor forward model swaption engine based on black formula

Synopsis

#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>

Classes

class LfmSwaptionEngine
Libor forward model swaption engine based on Black formula

Detailed Description

libor forward model swaption engine based on black formula

Author

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