#include <qle/models/yoycapfloorhelper.hpp>

Inheritance diagram for YoYCapFloorHelper:

Public Member Functions
	YoYCapFloorHelper (const QuantLib::Handle< QuantLib::Quote > &premium, QuantLib::YoYInflationCapFloor::Type type, QuantLib::Rate strike, QuantLib::Natural settlementDays, const QuantLib::Period &tenor, const QuantLib::ext::shared_ptr< QuantLib::YoYInflationIndex > &yoyIndex, const QuantLib::Period &observationLag, const QuantLib::Calendar &yoyCalendar, QuantLib::BusinessDayConvention yoyConvention, const QuantLib::DayCounter &yoyDayCount, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &yoyTenor=1 *QuantLib::Years)

CalibrationHelper interface
QuantLib::Real	calibrationError () override

Observer interface
void	update () override

YoYCapFloorHelper inspectors
QuantLib::ext::shared_ptr< QuantLib::YoYInflationCapFloor >	yoyCapFloor () const

void	setPricingEngine (const QuantLib::ext::shared_ptr< QuantLib::PricingEngine > &engine)
	Set the pricing engine to be used by the underlying YoY cap floor.

QuantLib::Real	marketValue () const
	Return the market premium value.

QuantLib::Real	modelValue () const
	Return the model value.

Detailed Description

Year on year (YoY) inflation cap floor calibration helper.

Public Member Functions