QuantLib_TreeCapFloorEngine

Langue: en

Autres versions - même langue

Version: 374386 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::TreeCapFloorEngine -

Numerical lattice engine for cap/floors.

SYNOPSIS


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

Inherits LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results >.

Public Member Functions


void calculate () const

Constructors

 

Note:

the term structure is only needed when the short-rate model cannot provide one itself.


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.

Author

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