Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
#include <qle/pricingengines/inflationcapfloorengines.hpp>
Public Member Functions | |
YoYInflationUnitDisplacedBlackCapFloorEngine (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_ |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)