ql/PricingEngines/Swaption/g2swaptionengine.hpp File Reference
Detailed Description
Swaption pricing engine for two-factor additive Gaussian Model G2++.
#include <ql/PricingEngines/blackmodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
#include <ql/ShortRateModels/TwoFactorModels/g2.hpp>
Include dependency graph for g2swaptionengine.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | G2SwaptionEngine |
Swaption priced by means of the Black formula More... |