Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Inheritance diagram for YoYInflationBachelierCapFloorEngine:Public Member Functions | |
| YoYInflationBachelierCapFloorEngine (const ext::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &nominalTermStructure) | |
Public Member Functions inherited from YoYInflationCapFloorEngine | |
| YoYInflationCapFloorEngine (const ext::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &nominalTermStructure) | |
| ext::shared_ptr< YoYInflationIndex > | index () const |
| Handle< YoYOptionletVolatilitySurface > | volatility () const |
| Handle< YieldTermStructure > | nominalTermStructure () const |
| void | setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol) |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Member Functions | |
| virtual Real | optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const |
| descendents only need to implement this | |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from YoYInflationCapFloorEngine | |
| ext::shared_ptr< YoYInflationIndex > | index_ |
| Handle< YoYOptionletVolatilitySurface > | volatility_ |
| Handle< YieldTermStructure > | nominalTermStructure_ |
Protected Attributes inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
| YoYInflationCapFloor::arguments | arguments_ |
| YoYInflationCapFloor::results | results_ |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)