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QuantLib_YoYInflationCapFloorEngine
Langue: en
Version: 373787 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::YoYInflationCapFloorEngine -Base YoY inflation cap/floor engine.
SYNOPSIS
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Inherits QuantLib::YoYInflationCapFloor::engine.
Inherited by YoYInflationBachelierCapFloorEngine, YoYInflationBlackCapFloorEngine, and YoYInflationUnitDisplacedBlackCapFloorEngine.
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_
Detailed Description
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.
Author
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