TreeCapFloorEngine (3) Linux Manual Page
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 >())