G2SwaptionEngine (3) - Linux Manuals
G2SwaptionEngine: Swaption priced by means of the Black formula
NAME
QuantLib::G2SwaptionEngine - Swaption priced by means of the Black formula
SYNOPSIS
#include <ql/pricingengines/swaption/g2swaptionengine.hpp>
Inherits GenericModelEngine< G2, Swaption::arguments, Swaption::results >.
Public Member Functions
G2SwaptionEngine (const boost::shared_ptr< G2 > &model, Real range, Size intervals)
void calculate () const
Detailed Description
Swaption priced by means of the Black formula
Warning
- The engine assumes that the exercise date equals the start date of the passed swap.
Examples:
BermudanSwaption.cpp.
Author
Generated automatically by Doxygen for QuantLib from the source code.