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>
Classes | |
class | G2SwaptionEngine |
Swaption priced by means of the Black formula More... | |
Namespaces | |
namespace | QuantLib |
Swaption pricing engine for two-factor additive Gaussian Model G2++.