capfloorengines

Langue: en

Autres versions - même langue

Version: 383794 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

Cap/floor engines -

Classes


class AnalyticCapFloorEngine
Analytic engine for cap/floor.
class BlackCapFloorEngine
Black-formula cap/floor engine.
class MCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White engine for cap/floors.
class TreeCapFloorEngine
Numerical lattice engine for cap/floors.

Author

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