BlackCapFloorEngine Class Reference
[Cap/floor engines]

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

Inheritance diagram for BlackCapFloorEngine:

List of all members.


Detailed Description

Black-formula cap/floor engine.


Public Member Functions

 BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, Volatility vol, const DayCounter &dc=Actual365Fixed())
 BlackCapFloorEngine (const Handle< YieldTermStructure > &termStructure, 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 ()