BlackCapFloorEngine Class Reference
[Cap/floor engines]
Black-formula cap/floor engine.
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#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
Inheritance diagram for BlackCapFloorEngine:

Public Member Functions | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed()) | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) | |
void | calculate () const |
Handle< YieldTermStructure > | termStructure () |
Handle < OptionletVolatilityStructure > | volatility () |
Detailed Description
Black-formula cap/floor engine.