BlackSwaptionEngine (3) Linux Manual Page
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.