Markov functional cap/floor engine. More...
#include <ql/experimental/models/markovfunctionalcapfloorengine.hpp>
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 |
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GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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 | |
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__pad0__ | |
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Handle< MarkovFunctional > | model_ |
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CapFloor::arguments | arguments_ |
CapFloor::results | results_ |
Markov functional cap/floor engine.
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