QuantLib_LfmSwaptionEngine (3) Linux Manual Page

QuantLib::LfmSwaptionEngine – Libor forward model swaption engine based on Black formula

Synopsis

#include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp>

Inherits GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results >.

Public Member Functions

LfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve)

void calculate () const

Detailed Description

Libor forward model swaption engine based on Black formula

Author

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