Engine for CPI cap/floors based on a price surface. More...
#include <ql/experimental/inflation/cpicapfloorengines.hpp>
Inheritance diagram for InterpolatingCPICapFloorEngine:
Collaboration diagram for InterpolatingCPICapFloorEngine:
Public Member Functions | |
| InterpolatingCPICapFloorEngine (Handle< CPICapFloorTermPriceSurface >) | |
| void | calculate () const override |
| virtual std::string | name () const |
| ~InterpolatingCPICapFloorEngine () override=default | |
| Public Member Functions inherited from GenericEngine< CPICapFloor::arguments, CPICapFloor::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 Attributes | |
| Handle< CPICapFloorTermPriceSurface > | priceSurf_ |
| Protected Attributes inherited from GenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
| CPICapFloor::arguments | arguments_ |
| CPICapFloor::results | results_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
Engine for CPI cap/floors based on a price surface.
This engine only adds timing functionality (e.g. different lag) w.r.t. an existing interpolated price surface.
Definition at line 41 of file cpicapfloorengines.hpp.
Constructor & Destructor Documentation
◆ InterpolatingCPICapFloorEngine()
|
explicit |
◆ ~InterpolatingCPICapFloorEngine()
|
overridedefault |
Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 38 of file cpicapfloorengines.cpp.
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◆ name()
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virtual |
Definition at line 46 of file cpicapfloorengines.hpp.
Member Data Documentation
◆ priceSurf_
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protected |
Definition at line 51 of file cpicapfloorengines.hpp.