Basse Class for Black / Bachelier CPI cap floor pricing engines. More...

#include <qle/pricingengines/cpiblackcapfloorengine.hpp>

Inheritance diagram for CPICapFloorEngine:

Public Member Functions
	CPICapFloorEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &surface, const bool ttmFromLastAvailableFixing=false)
virtual void	calculate () const override
void	setVolatility (const QuantLib::Handle< QuantLib::CPIVolatilitySurface > &surface)

Protected Member Functions
virtual double	optionPriceImpl (QuantLib::Option::Type type, double forward, double strike, double stdDev, double discount) const =0

Protected Attributes
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::CPIVolatilitySurface >	volatilitySurface_
bool	ttmFromLastAvailableFixing_

Detailed Description

Basse Class for Black / Bachelier CPI cap floor pricing engines.

Public Member Functions