QuantLib_G2SwaptionEngine man page

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

Additional Inherited Members

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.

Referenced By

G2SwaptionEngine(3) is an alias of QuantLib_G2SwaptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib