- QuantLib
- InterpolatingCPICapFloorEngine
#include <ql/experimental/inflation/cpicapfloorengines.hpp>
Inherits CPICapFloor::engine.
Public Member Functions | |
InterpolatingCPICapFloorEngine (const Handle< CPICapFloorTermPriceSurface > &) | |
virtual void | calculate () const |
virtual std::string | name () const |
Protected Attributes | |
Handle < CPICapFloorTermPriceSurface > | priceSurf_ |
This engine only adds timing functionality (e.g. different lag) w.r.t. an existing interpolated price surface.