NAME

QuantLib::AnalyticCapFloorEngine - Analytic engine for cap/floor.

SYNOPSIS


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

Inherits GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >.

Public Member Functions


AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

void calculate () const

Detailed Description

Analytic engine for cap/floor.

Constructor & Destructor Documentation

AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > & model, const Handle< YieldTermStructure > & termStructure = Handle< YieldTermStructure >())

Note:

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

Author

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