AnalyticCapFloorEngine Class Reference
[Cap/floor engines]
Analytic engine for cap/floor.
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#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp>
Inheritance diagram for AnalyticCapFloorEngine:

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 = Handle< YieldTermStructure >() | |||
) |
- Note:
- the term structure is only needed when the short-rate model cannot provide one itself.