CPI cap floor helper.
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#include <qle/models/cpicapfloorhelper.hpp>
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| CpiCapFloorHelper (Option::Type type, Real baseCPI, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const Calendar &payCalendar, BusinessDayConvention payConvention, Real strike, const Handle< ZeroInflationIndex > &infIndex, const Period &observationLag, Real marketPremium, CPI::InterpolationType observationInterpolation=CPI::AsIndex, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) |
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Real | modelValue () const override |
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Real | blackPrice (Volatility volatility) const override |
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void | addTimesTo (std::list< Time > &) const override |
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boost::shared_ptr< CPICapFloor > | instrument () const |
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