Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>
Public Member Functions | |
YoYInflationBachelierCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &) | |
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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 |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Member Functions | |
virtual Real | optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const |
descendents only need to implement this | |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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boost::shared_ptr< YoYInflationIndex > | index_ |
Handle< YoYOptionletVolatilitySurface > | volatility_ |
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YoYInflationCapFloor::arguments | arguments_ |
YoYInflationCapFloor::results | results_ |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)