TreeCapFloor Class Reference

#include <ql/PricingEngines/CapFloor/treecapfloor.hpp>

Inheritance diagram for TreeCapFloor:

Inheritance graph
[legend]
List of all members.

Detailed Description

Cap/floor priced on a lattice.


Public Member Functions

 TreeCapFloor (const Handle< ShortRateModel > &model, Size timeSteps)
 TreeCapFloor (const Handle< ShortRateModel > &model, const TimeGrid &timeGrid)
void calculate () const


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen