BlackCapFloorEngine Class Reference

Black-formula cap/floor engine. More...

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

Inheritance diagram for BlackCapFloorEngine:

Public Member Functions

 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed())
 
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed())
 
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol)
 
void calculate () const
 
Handle< YieldTermStructuretermStructure ()
 
Handle
< OptionletVolatilityStructure
volatility ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 

Detailed Description

Black-formula cap/floor engine.