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

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