G2SwaptionEngine Class Reference

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

#include <ql/pricingengines/swaption/g2swaptionengine.hpp>

Inheritance diagram for G2SwaptionEngine:

Public Member Functions

 G2SwaptionEngine (const boost::shared_ptr< G2 > &model, Real range, Size intervals)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
 GenericModelEngine (const Handle< G2 > &model=Handle< G2 >())
 
 GenericModelEngine (const boost::shared_ptr< G2 > &model)
 
- Public Member Functions inherited from GenericEngine< Swaption::arguments, Swaption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< G2, Swaption::arguments, Swaption::results >
Handle< G2model_
 

Detailed Description

Swaption priced by means of the Black formula

Warning:
The engine assumes that the exercise date equals the start date of the passed swap.
Examples:
BermudanSwaption.cpp.