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QuantLib_TreeCapFloorEngine
Langue: en
Version: 374386 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
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 >())
Detailed Description
Numerical lattice engine for cap/floors.
Author
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