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>

Go to the source code of this file.

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.