discountingcurrencyswapenginedeltagamma.hpp File Reference

discounting currency swap engine providing analytical deltas and gammas for vanilla swaps More...

#include <ql/currency.hpp>
#include <ql/handle.hpp>
#include <ql/math/matrix.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <qle/currencies/currencycomparator.hpp>
#include <qle/instruments/currencyswap.hpp>

Classes
class	DiscountingCurrencySwapEngineDeltaGamma
	Discounting currency swap engine providing analytical deltas and gammas. More...

Detailed Description

discounting currency swap engine providing analytical deltas and gammas for vanilla swaps