Base YoY inflation cap/floor engine. More...

#include <inflationcapfloorengines.hpp>

Inheritance diagram for YoYInflationCapFloorEngine:

Collaboration diagram for YoYInflationCapFloorEngine:

Public Member Functions
	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 ()=default

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

Protected Attributes
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_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base YoY inflation cap/floor engine.

This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure.

Definition at line 44 of file inflationcapfloorengines.hpp.

Constructor & Destructor Documentation

◆ YoYInflationCapFloorEngine()

YoYInflationCapFloorEngine	(	ext::shared_ptr< YoYInflationIndex >	index,
		Handle< YoYOptionletVolatilitySurface >	vol,
		Handle< YieldTermStructure >	nominalTermStructure
	)