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>

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Namespaces

namespace  QuantLib

Classes

class  G2SwaptionEngine
 Swaption priced by means of the Black formula More...

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