TreeCapFloorEngine Class Reference
[Cap/floor engines]

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

Inheritance diagram for TreeCapFloorEngine:

List of all members.


Detailed Description

Numerical lattice engine for cap/floors.


Public Member Functions

void calculate () const
Constructors
Note:
the term structure is only needed when the short-rate model cannot provide one itself.


 TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())
 TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >())