quantlib.pricingengines.swaption.black_swaption_engine.BlackSwaptionEngine¶
- class BlackSwaptionEngine(YieldTermStructure discount_curve, vol, DayCounter dc=Actual365Fixed(), Real displacement=0., CashAnnuityModel model=DiscountCurve)¶
Bases:
PricingEngine
Shifted Lognormal Black-formula swaption engine
Warning
The engine assumes that the exercise date lies before the start date of the passed swap.
- __init__(*args, **kwargs)¶
Methods
__init__
(*args, **kwargs)