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QuantLib_UnitDisplacedBlackYoYInflationCouponPricer

NAME

QuantLib::UnitDisplacedBlackYoYInflationCouponPricer -

Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.

SYNOPSIS

#include <ql/cashflows/inflationcouponpricer.hpp>

Inherits QuantLib::YoYInflationCouponPricer.

Public Member Functions

UnitDisplacedBlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >())

Protected Member Functions

Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const

Detailed Description

Unit-Displaced-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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