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QuantLib_BlackYoYInflationCouponPricer
Langue: en
Version: 373536 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackYoYInflationCouponPricer -Black-formula pricer for capped/floored yoy inflation coupons.
SYNOPSIS
#include <ql/cashflows/inflationcouponpricer.hpp>
Inherits QuantLib::YoYInflationCouponPricer.
Public Member Functions
BlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >())
Protected Member Functions
Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const
Detailed Description
Black-formula pricer for capped/floored yoy inflation coupons.
Member Function Documentation
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.
Author
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