QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | Protected Attributes | List of all members
YoYOptionletHelper Class Reference

Year-on-year inflation-volatility bootstrap helper. More...

#include <yoyoptionlethelpers.hpp>

+ Inheritance diagram for YoYOptionletHelper:
+ Collaboration diagram for YoYOptionletHelper:

Public Member Functions

 YoYOptionletHelper (const Handle< Quote > &price, Real notional, YoYInflationCapFloor::Type capFloorType, Period &lag, DayCounter yoyDayCounter, Calendar paymentCalendar, Natural fixingDays, ext::shared_ptr< YoYInflationIndex > index, Rate strike, Size n, ext::shared_ptr< YoYInflationCapFloorEngine > pricer)
 
void setTermStructure (YoYOptionletVolatilitySurface *) override
 
Real impliedQuote () const override
 
- Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
 BootstrapHelper (Handle< Quote > quote)
 
 BootstrapHelper (Real quote)
 
 ~BootstrapHelper () override=default
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual void setTermStructure (YoYOptionletVolatilitySurface *)
 sets the term structure to be used for pricing More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date maturityDate () const
 instrument's maturity date More...
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date More...
 
virtual Date latestDate () const
 latest date More...
 
void update () override
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Protected Attributes

Real notional_
 
YoYInflationCapFloor::Type capFloorType_
 
Period lag_
 
Natural fixingDays_
 
ext::shared_ptr< YoYInflationIndexindex_
 
Rate strike_
 
Size n_
 
DayCounter yoyDayCounter_
 
Calendar calendar_
 
ext::shared_ptr< YoYInflationCapFloorEnginepricer_
 
ext::shared_ptr< YoYInflationCapFlooryoyCapFloor_
 
- Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
Handle< Quotequote_
 
YoYOptionletVolatilitySurfacetermStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Definition at line 35 of file yoyoptionlethelpers.hpp.

Constructor & Destructor Documentation

◆ YoYOptionletHelper()

YoYOptionletHelper ( const Handle< Quote > &  price,
Real  notional,
YoYInflationCapFloor::Type  capFloorType,
Period lag,
DayCounter  yoyDayCounter,
Calendar  paymentCalendar,
Natural  fixingDays,
ext::shared_ptr< YoYInflationIndex index,
Rate  strike,
Size  n,
ext::shared_ptr< YoYInflationCapFloorEngine pricer 
)

Definition at line 27 of file yoyoptionlethelpers.cpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ setTermStructure()

void setTermStructure ( YoYOptionletVolatilitySurface v)
override

Definition at line 73 of file yoyoptionlethelpers.cpp.

+ Here is the call graph for this function:

◆ impliedQuote()

Real impliedQuote ( ) const
overridevirtual

Member Data Documentation

◆ notional_

Real notional_
protected

Definition at line 54 of file yoyoptionlethelpers.hpp.

◆ capFloorType_

YoYInflationCapFloor::Type capFloorType_
protected

Definition at line 55 of file yoyoptionlethelpers.hpp.

◆ lag_

Period lag_
protected

Definition at line 56 of file yoyoptionlethelpers.hpp.

◆ fixingDays_

Natural fixingDays_
protected

Definition at line 57 of file yoyoptionlethelpers.hpp.

◆ index_

ext::shared_ptr<YoYInflationIndex> index_
protected

Definition at line 58 of file yoyoptionlethelpers.hpp.

◆ strike_

Rate strike_
protected

Definition at line 60 of file yoyoptionlethelpers.hpp.

◆ n_

Size n_
protected

Definition at line 61 of file yoyoptionlethelpers.hpp.

◆ yoyDayCounter_

DayCounter yoyDayCounter_
protected

Definition at line 62 of file yoyoptionlethelpers.hpp.

◆ calendar_

Calendar calendar_
protected

Definition at line 63 of file yoyoptionlethelpers.hpp.

◆ pricer_

ext::shared_ptr<YoYInflationCapFloorEngine> pricer_
protected

Definition at line 64 of file yoyoptionlethelpers.hpp.

◆ yoyCapFloor_

ext::shared_ptr<YoYInflationCapFloor> yoyCapFloor_
protected

Definition at line 66 of file yoyoptionlethelpers.hpp.