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

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...

#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>

+ Inheritance diagram for YoYInflationBachelierCapFloorEngine:

Public Member Functions

 YoYInflationBachelierCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &)
 
- Public Member Functions inherited from YoYInflationCapFloorEngine
 YoYInflationCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol)
 
boost::shared_ptr< YoYInflationIndexindex () const
 
Handle< YoYOptionletVolatilitySurfacevolatility () const
 
void setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- 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 ()
 

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

- Protected Attributes inherited from YoYInflationCapFloorEngine
boost::shared_ptr< YoYInflationIndexindex_
 
Handle< YoYOptionletVolatilitySurfacevolatility_
 
- Protected Attributes inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
YoYInflationCapFloor::arguments arguments_
 
YoYInflationCapFloor::results results_
 

Detailed Description

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)