YoYInflationUnitDisplacedBlackCapFloorEngine Class Reference

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...

#include <ql/pricingengines/inflation/inflationcapfloorengines.hpp>

Inheritance diagram for YoYInflationUnitDisplacedBlackCapFloorEngine:

Public Member Functions

 YoYInflationUnitDisplacedBlackCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &)
 
- Public Member Functions inherited from YoYInflationCapFloorEngine
 YoYInflationCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &vol)
 
boost::shared_ptr
< YoYInflationIndex
index () const
 
Handle
< YoYOptionletVolatilitySurface
volatility () const
 
void setVolatility (const Handle< YoYOptionletVolatilitySurface > &vol)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

virtual Real optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const
 descendents only need to implement this
 

Additional Inherited Members

- Protected Attributes inherited from YoYInflationCapFloorEngine
boost::shared_ptr
< YoYInflationIndex
index_
 
Handle
< YoYOptionletVolatilitySurface
volatility_
 
- Protected Attributes inherited from GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >
YoYInflationCapFloor::arguments arguments_
 
YoYInflationCapFloor::results results_
 

Detailed Description

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)