CpiCapFloorHelper Class Reference

CPI cap floor helper. More...

#include <qle/models/cpicapfloorhelper.hpp>

Inheritance diagram for CpiCapFloorHelper:

Collaboration diagram for CpiCapFloorHelper:

Public Member Functions
	CpiCapFloorHelper (Option::Type type, Real baseCPI, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const Calendar &payCalendar, BusinessDayConvention payConvention, Real strike, const Handle< ZeroInflationIndex > &infIndex, const Period &observationLag, Real marketPremium, CPI::InterpolationType observationInterpolation=CPI::AsIndex, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
Real	modelValue () const override
Real	blackPrice (Volatility volatility) const override
void	addTimesTo (std::list< Time > &) const override
QuantLib::ext::shared_ptr< CPICapFloor >	instrument () const

Private Attributes
QuantLib::ext::shared_ptr< CPICapFloor >	instrument_

Detailed Description

CPI cap floor helper.

Definition at line 39 of file cpicapfloorhelper.hpp.

Constructor & Destructor Documentation

CpiCapFloorHelper()

CpiCapFloorHelper	(	Option::Type	type,
		Real	baseCPI,
		const Date &	maturity,
		const Calendar &	fixCalendar,
		BusinessDayConvention	fixConvention,
		const Calendar &	payCalendar,
		BusinessDayConvention	payConvention,
		Real	strike,
		const Handle< ZeroInflationIndex > &	infIndex,
		const Period &	observationLag,
		Real	marketPremium,
		CPI::InterpolationType	observationInterpolation = CPI::AsIndex,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError
	)

Definition at line 27 of file cpicapfloorhelper.cpp.

    : BlackCalibrationHelper(Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.0)), errorType),
      // start date does not really matter ?
      instrument_(QuantLib::ext::shared_ptr<CPICapFloor>(new CPICapFloor(
          type, 1.0, Settings::instance().evaluationDate(), baseCPI, maturity, fixCalendar, fixConvention, payCalendar,
          payConvention, strike, infIndex.currentLink(), observationLag, observationInterpolation))) {
    QL_REQUIRE(errorType == BlackCalibrationHelper::PriceError ||
                   errorType == BlackCalibrationHelper::RelativePriceError,
               "CpiCapFloorHelper supports only PriceError and "
               "RelativePriceError error types");
    marketValue_ = marketPremium;
}

Member Function Documentation

modelValue()

Real modelValue ( ) const

override

Definition at line 45 of file cpicapfloorhelper.cpp.

                                         {
    calculate();
    instrument_->setPricingEngine(engine_);
    return instrument_->NPV();
}

blackPrice()

Real blackPrice ( Volatility  volatility ) const

override

Definition at line 51 of file cpicapfloorhelper.cpp.

                                                   {
    calculate();
    return marketValue_;
}

addTimesTo()

void addTimesTo ( std::list< Time > &  ) const

override

Definition at line 50 of file cpicapfloorhelper.hpp.

{}

instrument()

QuantLib::ext::shared_ptr< CPICapFloor > instrument

(

)

const

Definition at line 52 of file cpicapfloorhelper.hpp.

{ return instrument_; }

Member Data Documentation

instrument_

QuantLib::ext::shared_ptr<CPICapFloor> instrument_

private

Definition at line 55 of file cpicapfloorhelper.hpp.