VanillaCapFloor Class Reference#include <capfloor.hpp>
Inheritance diagram for VanillaCapFloor:
[legend]List of all members.
Detailed Description
Base class for cap-like instruments.
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Public Types |
enum | Type { Cap,
Floor,
Collar
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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 |
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const [protected, virtual] |
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- 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:
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