MarkovFunctionalCapFloorEngine Class Reference

Markov functional cap/floor engine. More...

#include <ql/experimental/models/markovfunctionalcapfloorengine.hpp>

Inheritance diagram for MarkovFunctionalCapFloorEngine:

Public Member Functions

 MarkovFunctionalCapFloorEngine (const boost::shared_ptr< MarkovFunctional > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
 GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &model)
 
- 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

- Public Attributes inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
 __pad0__
 
- Protected Attributes inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
Handle< MarkovFunctionalmodel_
 
- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 

Detailed Description

Markov functional cap/floor engine.

Warning:

The float leg is simplified in the sense that it is worth $P(t,T_0)-P(t,T_1)$ with $T_0$ and $T_1$ being the start date and end date of each caplet

Non zero spreads are not allowed