blackswaptionenginedeltagamma.hpp File Reference

Swaption engine providing analytical deltas for vanilla swaps. More...

#include <qle/pricingengines/discountingswapenginedeltagamma.hpp>
#include <ql/cashflows/cashflows.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/exercise.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swaption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <boost/make_shared.hpp>

Go to the source code of this file.

Classes
class	BlackStyleSwaptionEngineDeltaGamma< Spec >
struct	Black76Spec
struct	BachelierSpec
class	BlackSwaptionEngineDeltaGamma
	Shifted Lognormal Black-formula swaption engine. More...
class	BachelierSwaptionEngineDeltaGamma
	Normal Bachelier-formula swaption engine. More...

Namespaces
namespace	QuantLib
namespace	QuantExt
namespace	QuantExt::detail

Detailed Description

Swaption engine providing analytical deltas for vanilla swaps.

Definition in file blackswaptionenginedeltagamma.hpp.