- QuantLib
- G2SwaptionEngine
Swaption priced by means of the Black formula More...
#include <ql/pricingengines/swaption/g2swaptionengine.hpp>
Public Member Functions | |
G2SwaptionEngine (const boost::shared_ptr< G2 > &model, Real range, Size intervals) | |
void | calculate () const |
Swaption priced by means of the Black formula