QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
YoYInflationCap Class Reference

Concrete YoY Inflation cap class. More...

#include <ql/instruments/inflationcapfloor.hpp>

+ Inheritance diagram for YoYInflationCap:

Public Member Functions

 YoYInflationCap (const Leg &yoyLeg, const std::vector< Rate > &exerciseRates)
 
- Public Member Functions inherited from YoYInflationCapFloor
 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)
 
 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes)
 
virtual Rate atmRate (const YieldTermStructure &discountCurve) const
 
virtual Volatility impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 implied term volatility
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
Type type () const
 
const std::vector< Rate > & capRates () const
 
const std::vector< Rate > & floorRates () const
 
const LegyoyLeg () const
 
Date startDate () const
 
Date maturityDate () const
 
boost::shared_ptr< YoYInflationCouponlastYoYInflationCoupon () const
 
boost::shared_ptr< YoYInflationCapFlooroptionlet (const Size n) const
 Returns the n-th optionlet as a cap/floor with only one cash flow.
 
- Public Member Functions inherited from Instrument
virtual void fetchResults (const PricingEngine::results *) const
 
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string, boost::any > & additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Types inherited from YoYInflationCapFloor
enum  Type { Cap, Floor, Collar }
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Concrete YoY Inflation cap class.