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g2swaptionengine.hpp File Reference

Swaption pricing engine for two-factor additive Gaussian Model G2++. More...

#include <ql/PricingEngines/blackmodel.hpp>
#include <ql/PricingEngines/genericmodelengine.hpp>
#include <ql/ShortRateModels/TwoFactorModels/g2.hpp>
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Classes

class  QuantLib::G2SwaptionEngine
 Swaption priced by means of the Black formula More...

Detailed Description

Swaption pricing engine for two-factor additive Gaussian Model G2++.

Definition in file g2swaptionengine.hpp.


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