QuantLib_BlackCapFloorEngine man page

BlackCapFloorEngine — Black-formula cap/floor engine.

Synopsis

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

Inherits CapFloor::engine.

Public Member Functions

BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)

BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol, Real displacement=Null< Real >())

void calculate () const

Handle< YieldTermStructure > termStructure ()

Handle< OptionletVolatilityStructure > volatility ()

Real displacement ()

Additional Inherited Members

Detailed Description

Black-formula cap/floor engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackCapFloorEngine(3) and displacement(3) are aliases of QuantLib_BlackCapFloorEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib