24#ifndef quantlib_pricers_gaussian1d_capfloor_hpp
25#define quantlib_pricers_gaussian1d_capfloor_hpp
27#include <ql/instruments/capfloor.hpp>
28#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
29#include <ql/pricingengines/genericmodelengine.hpp>
43 const ext::shared_ptr<Gaussian1dModel>& model,
44 const int integrationPoints = 64,
45 const Real stddevs = 7.0,
46 const bool extrapolatePayoff =
true,
47 const bool flatPayoffExtrapolation =
false,
Base class for cap-like instruments.
Gaussian1d cap/floor engine.
const bool extrapolatePayoff_
const Handle< YieldTermStructure > discountCurve_
const bool flatPayoffExtrapolation_
void calculate() const override
const int integrationPoints_
Gaussian1dCapFloorEngine(const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >())
Base class for some pricing engine on a particular model.
Shared handle to an observable.