QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Swaption pricing engine for two-factor additive Gaussian Model G2++. More...
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>
Go to the source code of this file.
Classes | |
class | G2SwaptionEngine |
Swaption priced by means of the Black formula More... | |
Namespaces | |
namespace | QuantLib |
Swaption pricing engine for two-factor additive Gaussian Model G2++.
Definition in file g2swaptionengine.hpp.