ql/pricingengines/swaption/g2swaptionengine.hpp File Reference


Detailed Description

Swaption pricing engine for two-factor additive Gaussian Model G2++.

#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>

Include dependency graph for g2swaptionengine.hpp:


Namespaces

namespace  QuantLib

Classes

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