capfloorengines man page

capfloorengines

Synopsis

Classes

class AnalyticCapFloorEngine
Analytic engine for cap/floor.
class BachelierCapFloorEngine
Bachelier-Black-formula cap/floor engine.
class BlackCapFloorEngine
Black-formula cap/floor engine.
class Gaussian1dCapFloorEngine
Gaussian1d cap/floor engine.
class MCHullWhiteCapFloorEngine< RNG, S >
Monte Carlo Hull-White engine for cap/floors.
class TreeCapFloorEngine
Numerical lattice engine for cap/floors.

Detailed Description

Author

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Info

Fri Sep 1 2017 Version 1.10.1 QuantLib