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QuantLib_LfmSwaptionEngine
Langue: en
Version: 375657 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::LfmSwaptionEngine -Libor forward model swaption engine based on Black formula
SYNOPSIS
#include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp>
Inherits GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results >.
Public Member Functions
LfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve)
void calculate () const
Detailed Description
Libor forward model swaption engine based on Black formula
Author
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