LfmSwaptionEngine Class Reference

Libor forward model swaption engine based on Black formula More...

#include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp>

Inheritance diagram for LfmSwaptionEngine:

List of all members.

Public Member Functions

 LfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve)
void calculate () const

Detailed Description

Libor forward model swaption engine based on Black formula