![]() QuantLib 0.3.7Getting startedReference manual |
CapFloor Class Reference |
Public Types | |
enum | Type { Cap, Floor, Collar } |
Public Member Functions | |
CapFloor (Type type, const std::vector< boost::shared_ptr< CashFlow > > &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates, const RelinkableHandle< TermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine) | |
void | setupArguments (Arguments *) const |
Volatility | impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const |
implied term volatility | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
Inspectors | |
Type | type () const |
const std::vector< boost::shared_ptr< CashFlow > > & | leg () const |
const std::vector< Rate > & | capRates () const |
const std::vector< Rate > & | floorRates () const |
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When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used. Reimplemented from Instrument. |
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