ql/pricingengines/swaption/g2swaptionengine.hpp File Reference

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

Include dependency graph for g2swaptionengine.hpp:

Classes

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

Detailed Description

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