YoYOptionletHelper Class Reference

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

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

Inheritance diagram for YoYOptionletHelper:

List of all members.

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 *)
Real impliedQuote () const

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_


Detailed Description

Year-on-year inflation-volatility bootstrap helper.