- QuantLib
- YoYInflationBachelierCapFloorEngine
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 > &) | |
Protected Member Functions | |
virtual Real | optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const |
descendents only need to implement this |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)