BlackSwaptionEngine Class Reference
[Swaption engines]

#include <ql/PricingEngines/Swaption/blackswaptionengine.hpp>

Inheritance diagram for BlackSwaptionEngine:

Inheritance graph
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List of all members.

Detailed Description

Black-formula swaption engine.

Warning:
The engine assumes that the exercise date equals the start date of the passed swap.


Public Member Functions

 BlackSwaptionEngine (const boost::shared_ptr< BlackModel > &model)
void calculate () const