Base YoY inflation cap/floor engine. More...
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Public Member Functions | |
YoYInflationCapFloorEngine (const ext::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &nominalTermStructure) | |
ext::shared_ptr< YoYInflationIndex > | index () const |
Handle< YoYOptionletVolatilitySurface > | volatility () const |
Handle< YieldTermStructure > | nominalTermStructure () const |
void | setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol) |
void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Protected Member Functions | |
virtual Real | optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0 |
descendents only need to implement this | |
Protected Attributes | |
ext::shared_ptr< YoYInflationIndex > | index_ |
Handle< YoYOptionletVolatilitySurface > | volatility_ |
Handle< YieldTermStructure > | nominalTermStructure_ |
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YoYInflationCapFloor::arguments | arguments_ |
YoYInflationCapFloor::results | results_ |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Base YoY inflation cap/floor engine.
This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure.