BlackSwaptionEngine Class Reference

Black-formula swaption engine. More...

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

Inheritance diagram for BlackSwaptionEngine:

Public Member Functions

 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed())
 
 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
 
 BlackSwaptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &vol)
 
void calculate () const
 
Handle< YieldTermStructuretermStructure ()
 
Handle
< SwaptionVolatilityStructure
volatility ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< Swaption::arguments, Swaption::results >
Swaption::arguments arguments_
 
Swaption::results results_
 

Detailed Description

Black-formula swaption engine.

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