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Public Member Functions | Private Attributes | List of all members
BlackCapFloorEngine Class Reference

Black-formula cap/floor engine. More...

#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>

+ Inheritance diagram for BlackCapFloorEngine:
+ Collaboration diagram for BlackCapFloorEngine:

Public Member Functions

 BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
 
 BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, Handle< OptionletVolatilityStructure > vol, Real displacement=Null< Real >())
 
void calculate () const override
 
Handle< YieldTermStructuretermStructure ()
 
Handle< OptionletVolatilityStructurevolatility ()
 
Real displacement () const
 
- Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Private Attributes

Handle< YieldTermStructurediscountCurve_
 
Handle< OptionletVolatilityStructurevol_
 
Real displacement_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments arguments_
 
CapFloor::results results_
 

Detailed Description

Black-formula cap/floor engine.

Definition at line 38 of file blackcapfloorengine.hpp.

Constructor & Destructor Documentation

◆ BlackCapFloorEngine() [1/3]

BlackCapFloorEngine ( Handle< YieldTermStructure discountCurve,
Volatility  vol,
const DayCounter dc = Actual365Fixed(),
Real  displacement = 0.0 
)

Definition at line 33 of file blackcapfloorengine.cpp.

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◆ BlackCapFloorEngine() [2/3]

BlackCapFloorEngine ( Handle< YieldTermStructure discountCurve,
const Handle< Quote > &  vol,
const DayCounter dc = Actual365Fixed(),
Real  displacement = 0.0 
)

Definition at line 44 of file blackcapfloorengine.cpp.

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◆ BlackCapFloorEngine() [3/3]

BlackCapFloorEngine ( Handle< YieldTermStructure discountCurve,
Handle< OptionletVolatilityStructure vol,
Real  displacement = Null<Real>() 
)

Definition at line 56 of file blackcapfloorengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 77 of file blackcapfloorengine.cpp.

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◆ termStructure()

Handle< YieldTermStructure > termStructure ( )

Definition at line 52 of file blackcapfloorengine.hpp.

◆ volatility()

Definition at line 53 of file blackcapfloorengine.hpp.

◆ displacement()

Real displacement ( ) const

Definition at line 54 of file blackcapfloorengine.hpp.

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Member Data Documentation

◆ discountCurve_

Handle<YieldTermStructure> discountCurve_
private

Definition at line 57 of file blackcapfloorengine.hpp.

◆ vol_

Definition at line 58 of file blackcapfloorengine.hpp.

◆ displacement_

Real displacement_
private

Definition at line 59 of file blackcapfloorengine.hpp.