LfmSwaptionEngine (3) - Linux Manuals

LfmSwaptionEngine: Libor forward model swaption engine based on Black formula

NAME

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

Generated automatically by Doxygen for QuantLib from the source code.