BlackCapFloorEngine (3) - Linux Manuals

BlackCapFloorEngine: Black-formula cap/floor engine.

Command to display BlackCapFloorEngine manual in Linux: $ man 3 BlackCapFloorEngine

NAME

QuantLib::BlackCapFloorEngine - Black-formula cap/floor engine.

SYNOPSIS

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

Inherits QuantLib::CapFloor::engine.

Public Member Functions

BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed())

BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())

BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol)

void calculate () const

Handle< YieldTermStructure > termStructure ()

Handle< OptionletVolatilityStructure > volatility ()

Detailed Description

Black-formula cap/floor engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.