QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Base YoY inflation cap/floor engine. More...
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
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 |
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.
YoYInflationCapFloorEngine | ( | ext::shared_ptr< YoYInflationIndex > | index, |
Handle< YoYOptionletVolatilitySurface > | vol, | ||
Handle< YieldTermStructure > | nominalTermStructure | ||
) |
Definition at line 29 of file inflationcapfloorengines.cpp.
ext::shared_ptr< YoYInflationIndex > index | ( | ) | const |
Definition at line 50 of file inflationcapfloorengines.hpp.
Handle< YoYOptionletVolatilitySurface > volatility | ( | ) | const |
Definition at line 51 of file inflationcapfloorengines.hpp.
Handle< YieldTermStructure > nominalTermStructure | ( | ) | const |
Definition at line 52 of file inflationcapfloorengines.hpp.
void setVolatility | ( | const Handle< YoYOptionletVolatilitySurface > & | vol | ) |
Definition at line 41 of file inflationcapfloorengines.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 51 of file inflationcapfloorengines.cpp.
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protectedpure virtual |
descendents only need to implement this
Implemented in YoYInflationBlackCapFloorEngine, YoYInflationUnitDisplacedBlackCapFloorEngine, and YoYInflationBachelierCapFloorEngine.
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protected |
Definition at line 64 of file inflationcapfloorengines.hpp.
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protected |
Definition at line 65 of file inflationcapfloorengines.hpp.
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Definition at line 66 of file inflationcapfloorengines.hpp.