BlackSwaptionEngine Class Reference
[Swaption engines]

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

Inheritance diagram for BlackSwaptionEngine:

List of all members.


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 Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
 BlackSwaptionEngine (const Handle< YieldTermStructure > &termStructure, const Handle< SwaptionVolatilityStructure > &vol)
void calculate () const
Handle< YieldTermStructuretermStructure ()
Handle
< SwaptionVolatilityStructure
volatility ()