discountingcurrencyswapenginedeltagamma.hpp File Reference

discounting currency swap engine providing analytical deltas and gammas for vanilla swaps More...

#include <ql/currency.hpp>
#include <ql/handle.hpp>
#include <ql/math/matrix.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/currencies/currencycomparator.hpp>
#include <qle/instruments/currencyswap.hpp>

Go to the source code of this file.

Classes
class	DiscountingCurrencySwapEngineDeltaGamma
	Discounting currency swap engine providing analytical deltas and gammas. More...

Namespaces
namespace	QuantExt

Detailed Description

discounting currency swap engine providing analytical deltas and gammas for vanilla swaps

Definition in file discountingcurrencyswapenginedeltagamma.hpp.