InterpolatingCPICapFloorEngine Class Reference

#include <qle/pricingengines/cpicapfloorengines.hpp>

Inheritance diagram for InterpolatingCPICapFloorEngine:

Public Member Functions
	InterpolatingCPICapFloorEngine (const QuantLib::Handle< QuantLib::CPICapFloorTermPriceSurface > &)
virtual void	calculate () const override
virtual std::string	name () const

Protected Attributes
QuantLib::Handle< QuantLib::CPICapFloorTermPriceSurface >	priceSurf_

Detailed Description

This engine only adds timing functionality (e.g. different lag) w.r.t. an existing interpolated price surface.