analyticlgmswaptionengine.hpp File Reference

analytic engine for european swaptions in the LGM model More...

#include <ql/instruments/swaption.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <qle/models/crossassetmodel.hpp>

Go to the source code of this file.

Classes
class	AnalyticLgmSwaptionEngine
	Analytic LGM swaption engine for european exercise. More...

Namespaces
namespace	QuantExt

Detailed Description

analytic engine for european swaptions in the LGM model

\ingroup engines

Definition in file analyticlgmswaptionengine.hpp.