BlackSwaptionEngine Class Reference
[Swaption engines]
#include <ql/PricingEngines/Swaption/blackswaptionengine.hpp>
Inheritance diagram for BlackSwaptionEngine:

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 |