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.


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Referenced By

The man page TreeCapFloorEngine(3) is an alias of QuantLib_TreeCapFloorEngine(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib