Concrete YoY Inflation cap class. More...
#include <ql/instruments/inflationcapfloor.hpp>
Public Member Functions | |
YoYInflationCap (const Leg &yoyLeg, const std::vector< Rate > &exerciseRates) | |
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YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates) | |
YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes) | |
virtual Rate | atmRate (const YieldTermStructure &discountCurve) const |
virtual Volatility | impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
implied term volatility | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
Type | type () const |
const std::vector< Rate > & | capRates () const |
const std::vector< Rate > & | floorRates () const |
const Leg & | yoyLeg () const |
Date | startDate () const |
Date | maturityDate () const |
boost::shared_ptr < YoYInflationCoupon > | lastYoYInflationCoupon () const |
boost::shared_ptr < YoYInflationCapFloor > | optionlet (const Size n) const |
Returns the n-th optionlet as a cap/floor with only one cash flow. | |
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virtual void | fetchResults (const PricingEngine::results *) const |
Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
Additional Inherited Members | |
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enum | Type { Cap, Floor, Collar } |
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void | calculate () const |
virtual void | setupExpired () const |
virtual void | performCalculations () const |
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boost::shared_ptr< PricingEngine > | engine_ |
Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
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bool | calculated_ |
bool | frozen_ |
Concrete YoY Inflation cap class.