YoYOptionletHelper Class Reference

Year-on-year inflation-volatility bootstrap helper. More...

#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>

Inheritance diagram for YoYOptionletHelper:

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
 
- Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
 BootstrapHelper (const Handle< Quote > &quote)
 
 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 &)
 
- 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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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_
 
- Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
Handle< Quotequote_
 
YoYOptionletVolatilitySurfacetermStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Member Function Documentation

void setTermStructure ( YoYOptionletVolatilitySurface )
virtual

sets the term structure to be used for pricing

Warning:
Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YoYOptionletVolatilitySurface >.