Rechercher une page de manuel
QuantLib_AnalyticCapFloorEngine
Langue: en
Version: 382636 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre