QuantLib_BlackSwaptionEngine man page

BlackSwaptionEngine — Shifted Lognormal Black-formula swaption engine.  

Synopsis

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

Inherits BlackStyleSwaptionEngine< detail::Black76Spec >.

Public Member Functions

BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0, CashAnnuityModel model=DiscountCurve)
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol, CashAnnuityModel model=DiscountCurve)

Additional Inherited Members

Detailed Description

Shifted Lognormal Black-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 BlackSwaptionEngine(3) is an alias of QuantLib_BlackSwaptionEngine(3).

Wed Aug 2 2017 Version 1.10 QuantLib