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, DayCounter yoyDayCounter, Calendar paymentCalendar, Natural fixingDays, ext::shared_ptr< YoYInflationIndex > index, CPI::InterpolationType interpolation, Rate strike, Size n, ext::shared_ptr< YoYInflationCapFloorEngine > pricer)
	YoYOptionletHelper (const Handle< Quote > &price, Real notional, YoYInflationCapFloor::Type capFloorType, Period &lag, DayCounter yoyDayCounter, Calendar paymentCalendar, Natural fixingDays, ext::shared_ptr< YoYInflationIndex > index, Rate strike, Size n, ext::shared_ptr< YoYInflationCapFloorEngine > pricer)
void	setTermStructure (YoYOptionletVolatilitySurface *) override
	sets the term structure to be used for pricing
Real	impliedQuote () const override
Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
void	update () override
virtual void	accept (AcyclicVisitor &)
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 ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Protected Attributes
Real	notional_
YoYInflationCapFloor::Type	capFloorType_
Period	lag_
Natural	fixingDays_
ext::shared_ptr< YoYInflationIndex >	index_
Rate	strike_
Size	n_
DayCounter	yoyDayCounter_
Calendar	calendar_
ext::shared_ptr< YoYInflationCapFloorEngine >	pricer_
ext::shared_ptr< YoYInflationCapFloor >	yoyCapFloor_
Handle< Quote >	quote_
YoYOptionletVolatilitySurface *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Constructor & Destructor Documentation

YoYOptionletHelper()

YoYOptionletHelper	(	const Handle< Quote > &	price,
		Real	notional,
		YoYInflationCapFloor::Type	capFloorType,
		Period &	lag,
		DayCounter	yoyDayCounter,
		Calendar	paymentCalendar,
		Natural	fixingDays,
		ext::shared_ptr< YoYInflationIndex >	index,
		Rate	strike,
		Size	n,
		ext::shared_ptr< YoYInflationCapFloorEngine >	pricer )

Deprecated

Use the overload that passes an interpolation type instead. Deprecated in version 1.36.

Member Function Documentation

setTermStructure()

void setTermStructure ( YoYOptionletVolatilitySurface * )

overridevirtual

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 >.

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YoYOptionletVolatilitySurface >.