QuantLib_YoYOptionletHelper

Langue: en

Version: 381308 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::YoYOptionletHelper -

Year-on-year inflation-volatility bootstrap helper.

SYNOPSIS


#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>

Inherits BootstrapHelper< YoYOptionletVolatilitySurface >.

Public Member Functions


YoYOptionletHelper (const Handle< Quote > &price, Real notional, YoYInflationCapFloor::Type capFloorType, Period &lag, const DayCounter &yoyDayCounter, const Calendar &paymentCalendar, Natural fixingDays, const boost::shared_ptr< YoYInflationIndex > &index, Rate strike, Size n, const boost::shared_ptr< YoYInflationCapFloorEngine > &pricer)

void setTermStructure (YoYOptionletVolatilitySurface *)
sets the term structure to be used for pricing
Real impliedQuote () const

Protected Attributes


Real notional_

YoYInflationCapFloor::Type capFloorType_

Period lag_

Natural fixingDays_

boost::shared_ptr< YoYInflationIndex > index_

Rate strike_

Size n_

DayCounter yoyDayCounter_

Calendar calendar_

boost::shared_ptr< YoYInflationCapFloorEngine > pricer_

boost::shared_ptr< YoYInflationCapFloor > yoyCapFloor_

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Member Function Documentation

void setTermStructure (YoYOptionletVolatilitySurface *) [virtual]

sets the term structure to be used for pricing Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YoYOptionletVolatilitySurface >.

Author

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