YoYOptionletHelper Class Reference

Year-on-year inflation-volatility bootstrap helper. More...

#include <yoyoptionlethelpers.hpp>

Inheritance diagram for YoYOptionletHelper:

Collaboration 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
Real	impliedQuote () const override
Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
	~BootstrapHelper () override=default
const Handle< Quote > &	quote () const
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 More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
void	update () override
virtual void	accept (AcyclicVisitor &)
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
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_
Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
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.

Definition at line 35 of file yoyoptionlethelpers.hpp.

Constructor & Destructor Documentation

YoYOptionletHelper() [1/2]

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
	)

Definition at line 27 of file yoyoptionlethelpers.cpp.

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YoYOptionletHelper() [2/2]

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.

Definition at line 67 of file yoyoptionlethelpers.cpp.

Member Function Documentation

setTermStructure()

void setTermStructure ( YoYOptionletVolatilitySurface *  v )

override

Definition at line 88 of file yoyoptionlethelpers.cpp.

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impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YoYOptionletVolatilitySurface >.

Definition at line 82 of file yoyoptionlethelpers.cpp.

Member Data Documentation

notional_

Real notional_

protected

Definition at line 69 of file yoyoptionlethelpers.hpp.

capFloorType_

YoYInflationCapFloor::Type capFloorType_

protected

Definition at line 70 of file yoyoptionlethelpers.hpp.

lag_

Period lag_

protected

Definition at line 71 of file yoyoptionlethelpers.hpp.

fixingDays_

Natural fixingDays_

protected

Definition at line 72 of file yoyoptionlethelpers.hpp.

index_

ext::shared_ptr<YoYInflationIndex> index_

protected

Definition at line 73 of file yoyoptionlethelpers.hpp.

strike_

Rate strike_

protected

Definition at line 74 of file yoyoptionlethelpers.hpp.

n_

Size n_

protected

Definition at line 75 of file yoyoptionlethelpers.hpp.

yoyDayCounter_

DayCounter yoyDayCounter_

protected

Definition at line 76 of file yoyoptionlethelpers.hpp.

calendar_

Calendar calendar_

protected

Definition at line 77 of file yoyoptionlethelpers.hpp.

pricer_

ext::shared_ptr<YoYInflationCapFloorEngine> pricer_

protected

Definition at line 78 of file yoyoptionlethelpers.hpp.

yoyCapFloor_

ext::shared_ptr<YoYInflationCapFloor> yoyCapFloor_

protected

Definition at line 80 of file yoyoptionlethelpers.hpp.