TreeCapFloorEngine Class Reference
[Cap/floor engines]
#include <ql/pricingengines/capfloor/treecapfloorengine.hpp>
Inheritance diagram for TreeCapFloorEngine:

Detailed Description
Numerical lattice engine for cap/floors.
Public Member Functions | |
TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) | |
TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) | |
void | calculate () const |