YoYOptionletHelper Class Reference
Year-on-year inflation-volatility bootstrap helper. More...
#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>
Inheritance diagram for YoYOptionletHelper:

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 *) |
sets the term structure to be used for pricing | |
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.
Member Function Documentation
void setTermStructure | ( | YoYOptionletVolatilitySurface * | ) | [virtual] |
sets the term structure to be used for pricing
- Warning:
- Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.
Reimplemented from BootstrapHelper< YoYOptionletVolatilitySurface >.