Concrete YoY Inflation cap class. More...
#include <ql/instruments/inflationcapfloor.hpp>
Inheritance diagram for YoYInflationCap:Public Member Functions | |
| YoYInflationCap (const Leg &yoyLeg, const std::vector< Rate > &exerciseRates) | |
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) | |
| 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 | |
| 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 Leg & | yoyLeg () const |
| Date | startDate () const |
| Date | maturityDate () const |
| boost::shared_ptr< YoYInflationCoupon > | lastYoYInflationCoupon () const |
| boost::shared_ptr< YoYInflationCapFloor > | optionlet (const Size n) const |
| Returns the n-th optionlet as a cap/floor with only one cash flow. | |
Public Member Functions inherited from Instrument | |
| virtual void | fetchResults (const PricingEngine::results *) const |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| 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 boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::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 std::set< boost::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 | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Concrete YoY Inflation cap class.