QuantLib_AnalyticCapFloorEngine man page

AnalyticCapFloorEngine — Analytic engine for cap/floor.


#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

Additional Inherited Members

Detailed Description

Analytic engine for cap/floor.

Constructor & Destructor Documentation

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


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


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Referenced By

AnalyticCapFloorEngine(3) is an alias of QuantLib_AnalyticCapFloorEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016