YoYInflationCap Class Reference

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, Leg yoyLeg, std::vector< Rate > capRates, std::vector< Rate > floorRates)
	YoYInflationCapFloor (Type type, Leg yoyLeg, const std::vector< Rate > &strikes)
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
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
ext::shared_ptr< YoYInflationCoupon >	lastYoYInflationCoupon () const
ext::shared_ptr< YoYInflationCapFloor >	optionlet (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 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, ext::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.
virtual void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (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 set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
void	performCalculations () const override
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Concrete YoY Inflation cap class.