- 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 >() |
||
| ) |