// cap.h
//
// Fixed-income binomial option pricing include file
//
#ifndef MAXTERNODES
#define MAXTERNODES 200
#endif
class f_i_bin {
public:
  f_i_bin(double ttm=.25,int npers=4,double sigma=.02,
    double rrbar=.07,double k=.125);
  double bprice(double r0);
  double cap(double level,double r0);
private:
  int nper;
  double tinc,up,down,sig,rbar,kappa,prfact;
  double r[MAXTERNODES],val[MAXTERNODES];};