AnalyticCapFloorEngine (3) Linux Manual Page
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.