BlackCapFloorEngine (3) Linux Manual Page
QuantLib::BlackCapFloorEngine – Black-formula cap/floor engine.
Synopsis
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>Inherits QuantLib::CapFloor::engine.
Public Member Functions
BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed())BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol)
void calculate () const
Handle< YieldTermStructure > termStructure ()
Handle< OptionletVolatilityStructure > volatility ()