G2SwaptionEngine (3) Linux Manual Page

ql/pricingengines/swaption/g2swaptionengine.hpp – Swaption pricing engine for two-factor additive Gaussian Model G2++.

Synopsis

#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>

Classes

class G2SwaptionEngine
Swaption priced by means of the Black formula

Detailed Description

Swaption pricing engine for two-factor additive Gaussian Model G2++.

Author

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