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QuantLib_G2SwaptionEngine
Langue: en
Version: 382875 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::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
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
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