Concrete YoY Inflation collar class. More...
#include <inflationcapfloor.hpp>
Inheritance diagram for YoYInflationCollar:
Collaboration 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, 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. More... | |
| 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. More... | |
| 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 More... | |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| 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 | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| 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 () |
| 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 () |
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 Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Concrete YoY Inflation collar class.
Definition at line 122 of file inflationcapfloor.hpp.
Constructor & Destructor Documentation
◆ YoYInflationCollar()
| YoYInflationCollar | ( | const Leg & | yoyLeg, |
| const std::vector< Rate > & | capRates, | ||
| const std::vector< Rate > & | floorRates | ||
| ) |
Definition at line 124 of file inflationcapfloor.hpp.