QuantLib_BachelierCapFloorEngine man page

BachelierCapFloorEngine — Bachelier-Black-formula cap/floor engine.

Synopsis

#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>

Inherits CapFloor::engine.

Public Member Functions

BachelierCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed())

BachelierCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())

BachelierCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol)

void calculate () const

Handle< YieldTermStructure > termStructure ()

Handle< OptionletVolatilityStructure > volatility ()

Additional Inherited Members

Detailed Description

Bachelier-Black-formula cap/floor engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BachelierCapFloorEngine(3) and termStructure(3) are aliases of QuantLib_BachelierCapFloorEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib