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... | |
Swaption pricing engine for two-factor additive Gaussian Model G2++.