QuantLib_TreeCapFloorEngine man page

TreeCapFloorEngine — Numerical lattice engine for cap/floors.


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

Inherits LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results >.

Public Member Functions

void calculate () const



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

TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())

Additional Inherited Members

Detailed Description

Numerical lattice engine for cap/floors.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

TreeCapFloorEngine(3) is an alias of QuantLib_TreeCapFloorEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016