- QuantLib
- YoYInflationCapFloorEngine
Base YoY inflation cap/floor engine. More...
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Public Member Functions | |
YoYInflationCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol) | |
boost::shared_ptr < YoYInflationIndex > | index () const |
Handle < YoYOptionletVolatilitySurface > | volatility () const |
void | setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol) |
void | calculate () const |
Protected Member Functions | |
virtual Real | optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0 |
descendents only need to implement this | |
Protected Attributes | |
boost::shared_ptr < YoYInflationIndex > | index_ |
Handle < YoYOptionletVolatilitySurface > | volatility_ |
Base YoY inflation cap/floor engine.
This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure. This provides the curves, hence the call uses a shared_ptr<> not a handle<> to the index.