Base YoY inflation cap/floor engine.
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#include <qle/pricingengines/inflationcapfloorengines.hpp>
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| YoYInflationCapFloorEngine (const ext::shared_ptr< QuantLib::YoYInflationIndex > &, const Handle< QuantLib::YoYOptionletVolatilitySurface > &vol, const Handle< YieldTermStructure > &discountCurve) |
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ext::shared_ptr< QuantLib::YoYInflationIndex > | index () const |
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Handle< QuantLib::YoYOptionletVolatilitySurface > | volatility () const |
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void | setVolatility (const Handle< QuantLib::YoYOptionletVolatilitySurface > &vol) |
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void | calculate () const override |
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virtual Real | optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0 |
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virtual Real | optionletVegaImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real sqrtTime, Real d) const =0 |
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ext::shared_ptr< QuantLib::YoYInflationIndex > | index_ |
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Handle< QuantLib::YoYOptionletVolatilitySurface > | volatility_ |
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Handle< YieldTermStructure > | discountCurve_ |
Base YoY inflation cap/floor engine.
This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure. This provides the curves, hence the call uses a shared_ptr<> not a handle<> to the index.
