BlackCapFloorEngine Class Reference

Black-formula cap/floor engine. More...

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

Inheritance diagram for BlackCapFloorEngine:

List of all members.

Public Member Functions

 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed())
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol)
void calculate () const
Handle< YieldTermStructuretermStructure ()
Handle
< OptionletVolatilityStructure
volatility ()

Detailed Description

Black-formula cap/floor engine.