Year-on-year inflation-volatility bootstrap helper. More...
#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>
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 |
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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 &) |
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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 () |
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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_ |
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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 >.