blackswaptionengine(3)

QuantLib::BlackSwaptionEngine – Black-formula swaption engine.

Synopsis

#include <ql/pricingengines/swaption/blackswaptionengine.hpp>

Inherits QuantLib::Swaption::engine.

Public Member Functions

BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed())

BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())

BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol)

void calculate () const

Handle< YieldTermStructure > termStructure ()

Handle< SwaptionVolatilityStructure > volatility ()

Detailed Description

Black-formula swaption engine.

Warning

The engine assumes that the exercise date equals the start date of the passed swap.

Author

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