QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Year-on-year inflation-volatility bootstrap helper. More...
#include <yoyoptionlethelpers.hpp>
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 &) | |
Observer & | operator= (const Observer &) |
virtual | ~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 | update ()=0 |
virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Protected Attributes | |
Real | notional_ |
YoYInflationCapFloor::Type | capFloorType_ |
Period | lag_ |
Natural | fixingDays_ |
ext::shared_ptr< YoYInflationIndex > | index_ |
Rate | strike_ |
Size | n_ |
DayCounter | yoyDayCounter_ |
Calendar | calendar_ |
ext::shared_ptr< YoYInflationCapFloorEngine > | pricer_ |
ext::shared_ptr< YoYInflationCapFloor > | yoyCapFloor_ |
Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface > | |
Handle< Quote > | quote_ |
YoYOptionletVolatilitySurface * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Year-on-year inflation-volatility bootstrap helper.
Definition at line 35 of file yoyoptionlethelpers.hpp.
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 | ||
) |
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override |
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overridevirtual |
Implements BootstrapHelper< YoYOptionletVolatilitySurface >.
Definition at line 67 of file yoyoptionlethelpers.cpp.
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Definition at line 54 of file yoyoptionlethelpers.hpp.
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Definition at line 55 of file yoyoptionlethelpers.hpp.
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Definition at line 56 of file yoyoptionlethelpers.hpp.
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Definition at line 57 of file yoyoptionlethelpers.hpp.
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Definition at line 58 of file yoyoptionlethelpers.hpp.
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Definition at line 60 of file yoyoptionlethelpers.hpp.
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Definition at line 61 of file yoyoptionlethelpers.hpp.
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Definition at line 62 of file yoyoptionlethelpers.hpp.
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Definition at line 63 of file yoyoptionlethelpers.hpp.
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Definition at line 64 of file yoyoptionlethelpers.hpp.
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Definition at line 66 of file yoyoptionlethelpers.hpp.