QuantLib_G2SwaptionEngine (3) Linux Manual Page

QuantLib::G2SwaptionEngine – Swaption priced by means of the Black formula

Synopsis

#include <ql/pricingengines/swaption/g2swaptionengine.hpp>

Inherits GenericModelEngine< G2, Swaption::arguments, Swaption::results >.

G2SwaptionEngine (const boost::shared_ptr< G2 > &model, Real range, Size intervals)

void calculate () const

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.

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