InflationCashFlowPricer Class Reference

Base class for CPI CashFLow and Coupon pricers. More...

#include <qle/cashflows/cpicouponpricer.hpp>

Inheritance diagram for InflationCashFlowPricer:

Collaboration diagram for InflationCashFlowPricer:

Public Member Functions
	InflationCashFlowPricer (const Handle< QuantLib::CPIVolatilitySurface > &vol=Handle< QuantLib::CPIVolatilitySurface >(), const Handle< YieldTermStructure > &yts=Handle< YieldTermStructure >())
virtual	~InflationCashFlowPricer ()
Handle< QuantLib::CPIVolatilitySurface >	volatility ()
	Inspectors. More...
Handle< YieldTermStructure >	yieldCurve ()
QuantLib::ext::shared_ptr< PricingEngine >	engine ()

Observer interface
Handle< QuantLib::CPIVolatilitySurface >	vol_
Handle< YieldTermStructure >	yts_
QuantLib::ext::shared_ptr< PricingEngine >	engine_
virtual void	update () override

Detailed Description

Base class for CPI CashFLow and Coupon pricers.

Definition at line 39 of file cpicouponpricer.hpp.

Constructor & Destructor Documentation

InflationCashFlowPricer()

InflationCashFlowPricer	(	const Handle< QuantLib::CPIVolatilitySurface > &	vol = Handle<QuantLib::CPIVolatilitySurface>(),
		const Handle< YieldTermStructure > &	yts = Handle<YieldTermStructure>()
	)

Definition at line 31 of file cpicouponpricer.cpp.

    : vol_(vol), yts_(yts) {
    if (!vol_.empty())
        registerWith(vol_);
    if (yts_.empty()) {
        yts_ = Handle<YieldTermStructure>(
            QuantLib::ext::shared_ptr<YieldTermStructure>(new FlatForward(0, NullCalendar(), 0.05, Actual365Fixed())));
    } else {
        registerWith(yts_);
    }   
}

~InflationCashFlowPricer()

virtual ~InflationCashFlowPricer ( )

virtual

Definition at line 43 of file cpicouponpricer.hpp.

{}

Member Function Documentation

volatility()

Handle< QuantLib::CPIVolatilitySurface > volatility

(

)

Inspectors.

Definition at line 47 of file cpicouponpricer.hpp.

{ return vol_; }

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yieldCurve()

Handle< YieldTermStructure > yieldCurve

(

)

Definition at line 48 of file cpicouponpricer.hpp.

{ return yts_; }

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engine()

QuantLib::ext::shared_ptr< PricingEngine > engine

(

)

Definition at line 49 of file cpicouponpricer.hpp.

{ return engine_; }

update()

virtual void update ( )

overridevirtual

Definition at line 54 of file cpicouponpricer.hpp.

{ notifyObservers(); }

Member Data Documentation

vol_

Handle<QuantLib::CPIVolatilitySurface> vol_

protected

Definition at line 57 of file cpicouponpricer.hpp.

yts_

Handle<YieldTermStructure> yts_

protected

Definition at line 58 of file cpicouponpricer.hpp.

engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_

protected

Definition at line 59 of file cpicouponpricer.hpp.