QuantLib_G2SwaptionEngine (3) - Linux Manuals

QuantLib_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.