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QuantLib_YoYInflationUnitDisplacedBlackCapFloorEngine

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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