VanillaCapFloor Class Reference

#include <capfloor.hpp>

Inheritance diagram for VanillaCapFloor:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for cap-like instruments.


Public Types

enum  Type { Cap, Floor, Collar }

Public Member Functions

 VanillaCapFloor (Type type, const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates, const RelinkableHandle< TermStructure > &termStructure, const Handle< PricingEngine > &engine)
Type type () const
const std::vector< Handle<
CashFlow > > & 
leg () const
const std::vector< Rate > & capRates () const
const std::vector< Rate > & floorRates () const

Protected Member Functions

void performCalculations () const
void setupEngine () const


Member Function Documentation

void performCalculations  )  const [protected, virtual]
 

Warning:
this method simply launches the engine and copies the returned value into NPV_. It does not set isExpired_. This should be taken care of by redefining this method in derived classes and calling this implementation after checking for validity and only if the check succeeded.

Reimplemented from Option.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen