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lfmswaptionengine.hpp
Langue: en
Version: 378715 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/legacy/libormarketmodels/lfmswaptionengine.hpp -libor forward model swaption engine based on black formula
SYNOPSIS
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
Classes
class LfmSwaptionEngine
Libor forward model swaption engine based on Black formula
Detailed Description
libor forward model swaption engine based on black formula
Author
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