analyticlgmswaptionengine.hpp File Reference

analytic engine for european swaptions in the LGM model More...

#include <ql/instruments/swaption.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <qle/models/crossassetmodel.hpp>

Classes
class	AnalyticLgmSwaptionEngine
	Analytic LGM swaption engine for european exercise. More...

Functions
std::ostream &	operator<< (std::ostream &oss, const QuantExt::AnalyticLgmSwaptionEngine::FloatSpreadMapping &m)
Real	flatAmount (const QuantLib::ext::shared_ptr< QuantLib::CashFlow > &f, const Handle< YieldTermStructure > &c)

Detailed Description

analytic engine for european swaptions in the LGM model