MarkovFunctionalCapFloorEngine Class Reference

Markov functional cap/floor engine. More...

#include <ql/experimental/models/markovfunctionalcapfloorengine.hpp>

Inheritance diagram for MarkovFunctionalCapFloorEngine:

Public Member Functions
	MarkovFunctionalCapFloorEngine (const boost::shared_ptr< MarkovFunctional > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false)

void	calculate () const

Public Member Functions inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
	GenericModelEngine (const boost::shared_ptr< MarkovFunctional > &model)

Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
PricingEngine::arguments *	getArguments () const

const PricingEngine::results *	getResults () const

void	reset ()

void	update ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Additional Inherited Members
Public Attributes inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
	__pad0__

Protected Attributes inherited from GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results >
Handle< MarkovFunctional >	model_

Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments	arguments_

CapFloor::results	results_

Detailed Description

Markov functional cap/floor engine.

The float leg is simplified in the sense that it is worth $P(t,T_0)-P(t,T_1)$ with $T_0$ and $T_1$ being the start date and end date of each caplet

Non zero spreads are not allowed