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QuantLib_YoYInflationUnitDisplacedBlackCapFloorEngine
Langue: en
Version: 375768 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::YoYInflationUnitDisplacedBlackCapFloorEngine -Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer).
SYNOPSIS
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Inherits QuantLib::YoYInflationCapFloorEngine.
Public Member Functions
YoYInflationUnitDisplacedBlackCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &)
Protected Member Functions
virtual Real optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const
Detailed Description
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer).
Author
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