QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
Gaussian1dCapFloorEngine Class Reference

Gaussian1d cap/floor engine. More...

#include <ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp>

+ Inheritance diagram for Gaussian1dCapFloorEngine:

Public Member Functions

 Gaussian1dCapFloorEngine (const boost::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results >
 GenericModelEngine (const Handle< Gaussian1dModel > &model=Handle< Gaussian1dModel >())
 
 GenericModelEngine (const boost::shared_ptr< Gaussian1dModel > &model)
 
- Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results >
Handle< Gaussian1dModelmodel_
 
- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 

Detailed Description

Gaussian1d cap/floor engine.