QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Attributes | List of all members
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 ext::shared_ptr< YoYInflationIndex > &index, Rate strike, Size n, const ext::shared_ptr< YoYInflationCapFloorEngine > &pricer)
 
void setTermStructure (YoYOptionletVolatilitySurface *)
 
Real impliedQuote () const
 
- Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
virtual Real impliedQuote () const=0
 
Real quoteError () const
 
virtual void setTermStructure (YoYOptionletVolatilitySurface *)
 sets the term structure to be used for pricing More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date maturityDate () const
 instrument's maturity date
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
virtual void update ()
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

Real notional_
 
YoYInflationCapFloor::Type capFloorType_
 
Period lag_
 
Natural fixingDays_
 
ext::shared_ptr< YoYInflationIndexindex_
 
Rate strike_
 
Size n_
 
DayCounter yoyDayCounter_
 
Calendar calendar_
 
ext::shared_ptr< YoYInflationCapFloorEnginepricer_
 
ext::shared_ptr< YoYInflationCapFlooryoyCapFloor_
 
- Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
Handle< Quotequote_
 
YoYOptionletVolatilitySurfacetermStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Year-on-year inflation-volatility bootstrap helper.