QuantLib_BachelierSwaptionEngine man page

BachelierSwaptionEngine — Normal Bachelier-formula swaption engine.  

Synopsis

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

Inherits BlackStyleSwaptionEngine< detail::BachelierSpec >.

Public Member Functions

BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), CashAnnuityModel model=DiscountCurve)
BachelierSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)

Additional Inherited Members

Detailed Description

Normal Bachelier-formula swaption engine.

Warning

The engine assumes that the exercise date equals the start date of the passed swap.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page BachelierSwaptionEngine(3) is an alias of QuantLib_BachelierSwaptionEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib