AnalyticCapFloorEngine Class Reference

Analytic engine for cap/floor. More...

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

Inheritance diagram for AnalyticCapFloorEngine:

Public Member Functions
	AnalyticCapFloorEngine (const ext::shared_ptr< AffineModel > &model, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >
	GenericModelEngine (Handle< AffineModel > model=Handle< AffineModel >())
Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >
Handle< AffineModel >	model_
Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments	arguments_
CapFloor::results	results_

Detailed Description

Analytic engine for cap/floor.

Constructor & Destructor Documentation

AnalyticCapFloorEngine()

AnalyticCapFloorEngine	(	const ext::shared_ptr< AffineModel > &	model,
		Handle< YieldTermStructure >	termStructure = Handle< YieldTermStructure >() )

Note

the term structure is only needed when the short-rate model cannot provide one itself.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.