QuantLib_Gaussian1dCapFloorEngine man page

Gaussian1dCapFloorEngine — Gaussian1d cap/floor engine.  

Synopsis

#include <ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp>

Inherits GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results >.

Public Member Functions

Gaussian1dCapFloorEngine (const boost::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())
void calculate () const

Additional Inherited Members

Detailed Description

Gaussian1d cap/floor engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Gaussian1dCapFloorEngine(3) is an alias of QuantLib_Gaussian1dCapFloorEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib