Hello Tanvi,
if you're talking about the Java bindings created by SWIG, you can use the classes org.quantlib.Cap and org.quantlib.Floor with the engine org.quantlib.BlackCapFloorEngine. An example of usage in C++ is in the test suite: see test-suite/capfloor.cpp in the C++ release. It's probably not the easiest thing to convert it to Java, but you can at least see what classes are used and what inputs they need.
Luigi
Hi everyone, quick question,
I have QuantLib for Java and would like to use it to value caps using the Black formula. Does anyone have any suggestions or know of a QuantLib class that can do this?
I found
this code in C++ online, it seems to be the class I want. However, in the later versions of QuantLib and my Java wrapped QuantLib, I can't seem to find this class.
Any help would be greatly appreciated!
Thanks,
Tanvi
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