YoYInflationCapFloorEngine Class Referenceabstract

Base YoY inflation cap/floor engine. More...

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

Inheritance diagram for YoYInflationCapFloorEngine:

Public Member Functions

 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
 

Protected Member Functions

virtual Real optionletImpl (Option::Type type, Rate strike, Rate forward, Real stdDev, Real d) const =0
 descendents only need to implement this
 

Protected Attributes

boost::shared_ptr
< YoYInflationIndex
index_
 
Handle
< YoYOptionletVolatilitySurface
volatility_
 

Detailed Description

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.