G2SwaptionEngine Class Reference
[Swaption engines]
#include <ql/pricingengines/swaption/g2swaptionengine.hpp>
Inheritance diagram for G2SwaptionEngine:

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