QuantLib_YoYInflationCapFloorEngine man page

YoYInflationCapFloorEngine — Base YoY inflation cap/floor engine.  


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

Inherits YoYInflationCapFloor::engine.

Inherited by YoYInflationBachelierCapFloorEngine, YoYInflationBlackCapFloorEngine, and YoYInflationUnitDisplacedBlackCapFloorEngine.

Public Member Functions

YoYInflationCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol)
boost::shared_ptr< YoYInflationIndex > index () const
Handle< YoYOptionletVolatilitySurface > volatility () const
void setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol)
void calculate () const

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

Protected Attributes

boost::shared_ptr< YoYInflationIndex > index_
Handle< YoYOptionletVolatilitySurface > volatility_

Additional Inherited Members

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. This provides the curves, hence the call uses a shared_ptr<> not a handle<> to the index.


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Referenced By

setVolatility(3) and YoYInflationCapFloorEngine(3) are aliases of QuantLib_YoYInflationCapFloorEngine(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib