AnalyticCapFloorEngine Class Reference
[Cap/floor engines]

Analytic engine for cap/floor. More...

#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp>

Inheritance diagram for AnalyticCapFloorEngine:

List of all members.

Public Member Functions

 AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
void calculate () const


Detailed Description

Analytic engine for cap/floor.


Constructor & Destructor Documentation

AnalyticCapFloorEngine ( const boost::shared_ptr< AffineModel > &  model,
const Handle< YieldTermStructure > &  termStructure = HandleYieldTermStructure >() 
)

Note:
the term structure is only needed when the short-rate model cannot provide one itself.