QuantLib 0.3.11
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Reference manual
ql/PricingEngines/Swaption/g2swaptionengine.hpp File Reference
Detailed Description
Swaption pricing engine for two-factor additive Gaussian Model G2++.
#include <ql/PricingEngines/blackmodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
#include <ql/ShortRateModels/TwoFactorModels/g2.hpp>
Include dependency graph for g2swaptionengine.hpp:
Namespaces | |
| namespace | QuantLib |
Classes | |
| class | G2SwaptionEngine |
| Swaption priced by means of the Black formula More... | |
