YoYInflationBlackCapFloorEngine Class Reference

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

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

Inheritance diagram for YoYInflationBlackCapFloorEngine:

Public Member Functions

 YoYInflationBlackCapFloorEngine (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
 

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_
 

Detailed Description

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