TreeCapFloorEngine Class Reference
[Cap/floor engines]

#include <ql/PricingEngines/CapFloor/treecapfloorengine.hpp>

Inheritance diagram for TreeCapFloorEngine:

Inheritance graph
[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.


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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