- QuantLib
- BlackCapFloorEngine
Black-formula cap/floor engine. More...
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
Public Member Functions | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed()) | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed()) | |
BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol) | |
void | calculate () const |
Handle< YieldTermStructure > | termStructure () |
Handle < OptionletVolatilityStructure > | volatility () |
Black-formula cap/floor engine.