QuantLib_YoYInflationCapFloorEngine

Langue: en

Version: 373787 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::YoYInflationCapFloorEngine -

Base YoY inflation cap/floor engine.

SYNOPSIS


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

Inherits QuantLib::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_

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.

Author

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