Basse Class for Black / Bachelier CPI cap floor pricing engines. More...
#include <qle/pricingengines/cpiblackcapfloorengine.hpp>
Protected Member Functions | |
virtual double | optionPriceImpl (QuantLib::Option::Type type, double forward, double strike, double stdDev, double discount) const =0 |
Protected Attributes | |
QuantLib::Handle< QuantLib::YieldTermStructure > | discountCurve_ |
QuantLib::Handle< QuantLib::CPIVolatilitySurface > | volatilitySurface_ |
bool | ttmFromLastAvailableFixing_ |
Basse Class for Black / Bachelier CPI cap floor pricing engines.