24#ifndef quantlib_yoy_optionlet_helpers_hpp
25#define quantlib_yoy_optionlet_helpers_hpp
27#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
28#include <ql/instruments/inflationcapfloor.hpp>
29#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
30#include <ql/termstructures/bootstraphelper.hpp>
46 ext::shared_ptr<YoYInflationIndex> index,
49 ext::shared_ptr<YoYInflationCapFloorEngine> pricer);
58 ext::shared_ptr<YoYInflationIndex>
index_;
64 ext::shared_ptr<YoYInflationCapFloorEngine>
pricer_;
Base helper class for bootstrapping.
Shared handle to an observable.
Year-on-year inflation-volatility bootstrap helper.
ext::shared_ptr< YoYInflationIndex > index_
void setTermStructure(YoYOptionletVolatilitySurface *) override
ext::shared_ptr< YoYInflationCapFloorEngine > pricer_
DayCounter yoyDayCounter_
ext::shared_ptr< YoYInflationCapFloor > yoyCapFloor_
Real impliedQuote() const override
YoYInflationCapFloor::Type capFloorType_
unsigned QL_INTEGER Natural
positive integer
std::size_t Size
size of a container