BlackCapFloorEngine Class Reference

Black-formula cap/floor engine. More...

#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>

Inheritance diagram for BlackCapFloorEngine:

Public Member Functions

 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackCapFloorEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< OptionletVolatilityStructure > &vol, Real displacement=0.0)
 
void calculate () const
 
Handle< YieldTermStructuretermStructure ()
 
Handle
< OptionletVolatilityStructure
volatility ()
 
Real displacement ()
 
- Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 

Detailed Description

Black-formula cap/floor engine.