G2SwaptionEngine Class Reference
[Swaption engines]

#include <ql/pricingengines/swaption/g2swaptionengine.hpp>

Inheritance diagram for G2SwaptionEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Swaption priced by means of the Black formula

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

BermudanSwaption.cpp.


Public Member Functions

 G2SwaptionEngine (const boost::shared_ptr< G2 > &mod, Real range, Size intervals)
void calculate () const