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QuantLib_BlackSwaptionEngine
Langue: en
Version: 375168 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackSwaptionEngine -Black-formula swaption engine.
SYNOPSIS
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
Inherits QuantLib::Swaption::engine.
Public Member Functions
BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed())
BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol)
void calculate () const
Handle< YieldTermStructure > termStructure ()
Handle< SwaptionVolatilityStructure > volatility ()
Detailed Description
Black-formula swaption engine.
Warning
- The engine assumes that the exercise date equals the start date of the passed swap.
Author
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Contenus ©2006-2024 Benjamin Poulain
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