CpiCapFloorHelper Class Reference

CPI cap floor helper. More...

#include <qle/models/cpicapfloorhelper.hpp>

Inheritance diagram for CpiCapFloorHelper:

Public Member Functions
	CpiCapFloorHelper (Option::Type type, Real baseCPI, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const Calendar &payCalendar, BusinessDayConvention payConvention, Real strike, const Handle< ZeroInflationIndex > &infIndex, const Period &observationLag, Real marketPremium, CPI::InterpolationType observationInterpolation=CPI::AsIndex, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
Real	modelValue () const override
Real	blackPrice (Volatility volatility) const override
void	addTimesTo (std::list< Time > &) const override
QuantLib::ext::shared_ptr< CPICapFloor >	instrument () const

Detailed Description

CPI cap floor helper.