- QuantLib
- BlackYoYInflationCouponPricer
Black-formula pricer for capped/floored yoy inflation coupons. More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Public Member Functions | |
BlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >()) | |
Protected Member Functions | |
Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
Black-formula pricer for capped/floored yoy inflation coupons.
Real optionletPriceImp | ( | Option::Type | , |
Real | strike, | ||
Real | forward, | ||
Real | stdDev | ||
) | const [protected, virtual] |
usually only need implement this (of course they may need to re-implement initialize too ...)
Reimplemented from YoYInflationCouponPricer.