YoYInflationBachelierCapFloorEngine Class Reference

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

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

Inheritance diagram for YoYInflationBachelierCapFloorEngine:

List of all members.

Public Member Functions

 YoYInflationBachelierCapFloorEngine (const boost::shared_ptr< YoYInflationIndex > &, const Handle< YoYOptionletVolatilitySurface > &)

Protected Member Functions

virtual Real optionletImpl (Option::Type, Real strike, Real forward, Real stdDev, Real d) const


Detailed Description

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