BlackSwaptionEngine Class Reference
Black-formula swaption engine. More...
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
Inheritance diagram for BlackSwaptionEngine:

Public Member Functions | |
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed()) | |
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) | |
BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol) | |
void | calculate () const |
Handle< YieldTermStructure > | termStructure () |
Handle < SwaptionVolatilityStructure > | volatility () |
Detailed Description
Black-formula swaption engine.
- Warning:
- The engine assumes that the exercise date equals the start date of the passed swap.