g2swaptionengine.hpp

Langue: en

Autres versions - même langue

Version: 373973 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/swaption/g2swaptionengine.hpp -

Swaption pricing engine for two-factor additive Gaussian Model G2++.

SYNOPSIS


#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>

Classes


class G2SwaptionEngine
Swaption priced by means of the Black formula

Detailed Description

Swaption pricing engine for two-factor additive Gaussian Model G2++.

Author

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