- QuantLib
- LfmSwaptionEngine
Libor forward model swaption engine based on Black formula More...
#include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp>
Public Member Functions | |
LfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve) | |
void | calculate () const |
Libor forward model swaption engine based on Black formula