TreeCapFloorEngine Class Reference
[Cap/floor engines]
#include <ql/PricingEngines/CapFloor/treecapfloorengine.hpp>
Inheritance diagram for TreeCapFloorEngine:
[legend]List of all members.
Detailed Description
Numerical lattice engine for cap/floors.
- Bug:
- caplets which have already fixed are not included in the cap value.
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Public Member Functions |
| TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) |
| TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) |
void | calculate () const |
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