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g2swaptionengine.hpp File Reference

Detailed Description

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

Definition in file g2swaptionengine.hpp.

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

Go to the source code of this file.


namespace  QuantLib


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

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