- QuantLib
- AnalyticCapFloorEngine
Analytic engine for cap/floor. More...
#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp>
Public Member Functions | |
AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
void | calculate () const |
Analytic engine for cap/floor.
AnalyticCapFloorEngine | ( | const boost::shared_ptr< AffineModel > & | model, |
const Handle< YieldTermStructure > & | termStructure = Handle< YieldTermStructure >() |
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) |