YoYInflationBlackCapFloorEngine Class Reference

Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...

#include <qle/pricingengines/inflationcapfloorengines.hpp>

Inheritance diagram for YoYInflationBlackCapFloorEngine:

Public Member Functions
	YoYInflationBlackCapFloorEngine (const ext::shared_ptr< QuantLib::YoYInflationIndex > &, const Handle< QuantLib::YoYOptionletVolatilitySurface > &, const Handle< YieldTermStructure > &discountCurve)
Public Member Functions inherited from YoYInflationCapFloorEngine
	YoYInflationCapFloorEngine (const ext::shared_ptr< QuantLib::YoYInflationIndex > &, const Handle< QuantLib::YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &discountCurve)
ext::shared_ptr< QuantLib::YoYInflationIndex >	index () const
Handle< QuantLib::YoYOptionletVolatilitySurface >	volatility () const
void	setVolatility (const Handle< QuantLib::YoYOptionletVolatilitySurface > &vol)
void	calculate () const override

Protected Member Functions
virtual Real	optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const override
virtual Real	optionletVegaImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real sqrtTime, Real d) const override
Protected Member Functions inherited from YoYInflationCapFloorEngine
virtual Real	optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0
	descendents only need to implement this

Additional Inherited Members
Protected Attributes inherited from YoYInflationCapFloorEngine
ext::shared_ptr< QuantLib::YoYInflationIndex >	index_
Handle< QuantLib::YoYOptionletVolatilitySurface >	volatility_
Handle< YieldTermStructure >	discountCurve_

Detailed Description

Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)