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QuantLib_BlackCapFloorEngine
Langue: en
Version: 379975 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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 ()
Detailed Description
Black-formula cap/floor engine.
Author
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