QuantLib_TreeCapFloorEngine (3) - Linux Manuals

QuantLib_TreeCapFloorEngine: Numerical lattice engine for cap/floors.

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

NAME

QuantLib::TreeCapFloorEngine - Numerical lattice engine for cap/floors.

SYNOPSIS

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

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

Public Member Functions

void calculate () const

Constructors
Note:

: 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 >())

Detailed Description

Numerical lattice engine for cap/floors.

Author

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