- QuantLib
- TreeCapFloorEngine
Numerical lattice engine for cap/floors. More...
#include <ql/pricingengines/capfloor/treecapfloorengine.hpp>

Public Member Functions | |
| void | calculate () const |
Constructors | |
| |
| TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
| TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) | |
Numerical lattice engine for cap/floors.