lfmswaptionengine.hpp

Langue: en

Autres versions - même langue

Version: 378715 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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