Analytic engine for cap/floor. More...
#include <ql/pricingengines/capfloor/analyticcapfloorengine.hpp>
Inheritance diagram for AnalyticCapFloorEngine:Public Member Functions | |
| AnalyticCapFloorEngine (const boost::shared_ptr< AffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| void | calculate () const |
Public Member Functions inherited from GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > | |
| GenericModelEngine (const Handle< AffineModel > &model=Handle< AffineModel >()) | |
| GenericModelEngine (const boost::shared_ptr< AffineModel > &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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| 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_ |
Analytic engine for cap/floor.
| AnalyticCapFloorEngine | ( | const boost::shared_ptr< AffineModel > & | model, |
| const Handle< YieldTermStructure > & | termStructure = Handle< YieldTermStructure >() |
||
| ) |