QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
YoYInflationCollar Class Reference

Concrete YoY Inflation collar class. More...

#include <ql/instruments/inflationcapfloor.hpp>

+ Inheritance diagram for YoYInflationCollar:

Public Member Functions

 YoYInflationCollar (const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)
 
- Public Member Functions inherited from YoYInflationCapFloor
 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)
 
 YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes)
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
Type type () const
 
const std::vector< Rate > & capRates () const
 
const std::vector< Rate > & floorRates () const
 
const LegyoyLeg () const
 
Date startDate () const
 
Date maturityDate () const
 
ext::shared_ptr< YoYInflationCouponlastYoYInflationCoupon () const
 
ext::shared_ptr< YoYInflationCapFlooroptionlet (Size n) const
 Returns the n-th optionlet as a cap/floor with only one cash flow.
 
virtual Rate atmRate (const YieldTermStructure &discountCurve) const
 
virtual Volatility impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 implied term volatility
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string, boost::any > & additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const ext::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
virtual void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- 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 ()
 

Additional Inherited Members

- Public Types inherited from YoYInflationCapFloor
enum  Type { Cap, Floor, Collar }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

Concrete YoY Inflation collar class.