YoYInflationBachelierCapFloorEngine Class Reference

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...

#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>

Inheritance diagram for YoYInflationBachelierCapFloorEngine:

Collaboration diagram for YoYInflationBachelierCapFloorEngine:

Public Member Functions
	YoYInflationBachelierCapFloorEngine (const ext::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &nominalTermStructure)
Public Member Functions inherited from YoYInflationCapFloorEngine
	YoYInflationCapFloorEngine (ext::shared_ptr< YoYInflationIndex >, Handle< YoYOptionletVolatilitySurface > vol, Handle< YieldTermStructure > nominalTermStructure)
ext::shared_ptr< YoYInflationIndex >	index () const
Handle< YoYOptionletVolatilitySurface >	volatility () const
Handle< YieldTermStructure >	nominalTermStructure () const
void	setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol)
void	calculate () const override
Public Member Functions inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
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 ()
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 ()

Protected Member Functions
Real	optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const override
	descendents only need to implement this More...
virtual Real	optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0
	descendents only need to implement this More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from YoYInflationCapFloorEngine
ext::shared_ptr< YoYInflationIndex >	index_
Handle< YoYOptionletVolatilitySurface >	volatility_
Handle< YieldTermStructure >	nominalTermStructure_
Protected Attributes inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
YoYInflationCapFloor::arguments	arguments_
YoYInflationCapFloor::results	results_

Detailed Description

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

Definition at line 99 of file inflationcapfloorengines.hpp.

Constructor & Destructor Documentation

YoYInflationBachelierCapFloorEngine()

YoYInflationBachelierCapFloorEngine	(	const ext::shared_ptr< YoYInflationIndex > &	index,
		const Handle< YoYOptionletVolatilitySurface > &	vol,
		const Handle< YieldTermStructure > &	nominalTermStructure
	)

Definition at line 171 of file inflationcapfloorengines.cpp.

Member Function Documentation

optionletImpl()

Real optionletImpl ( Option::Type  type, Real  strike, Real  forward, Real  stdDev, Real  d  ) const

overrideprotectedvirtual

descendents only need to implement this

Implements YoYInflationCapFloorEngine.

Definition at line 178 of file inflationcapfloorengines.cpp.

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