QuantLib_Gaussian1dCapFloorEngine man page

Gaussian1dCapFloorEngine — Gaussian1d cap/floor engine.


#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.


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Referenced By

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

Fri Sep 23 2016 Version 1.8.1 QuantLib