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QuantLib: a free/open-source library for quantitative finance
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g2swaptionengine.hpp File Reference

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>

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Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

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

Definition in file g2swaptionengine.hpp.