Year-on-year inflation-volatility bootstrap helper. More...
#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>
Inheritance diagram for YoYOptionletHelper: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 More... | |
| Real | impliedQuote () const |
Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| const Handle< Quote > & | quote () const |
| Real | quoteError () const |
| virtual Date | earliestDate () const |
| earliest relevant date More... | |
| virtual Date | latestDate () const |
| latest relevant date More... | |
| virtual void | update () |
| virtual void | accept (AcyclicVisitor &) |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (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 () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
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_ |
Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface > | |
| Handle< Quote > | quote_ |
| YoYOptionletVolatilitySurface * | termStructure_ |
| Date | earliestDate_ |
| Date | latestDate_ |
Year-on-year inflation-volatility bootstrap helper.
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virtual |
sets the term structure to be used for pricing
Reimplemented from BootstrapHelper< YoYOptionletVolatilitySurface >.