- QuantLib
- YoYOptionletHelper
 
Year-on-year inflation-volatility bootstrap helper. More...
#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>

| Public Member Functions | |
| YoYOptionletHelper (const Handle< Quote > &price, Real notional, YoYInflationCapFloor::Type capFloorType, Period &lag, const DayCounter &yoyDayCounter, const Calendar &paymentCalendar, Natural fixingDays, const boost::shared_ptr< YoYInflationIndex > &index, Rate strike, Size n, const boost::shared_ptr< YoYInflationCapFloorEngine > &pricer) | |
| void | setTermStructure (YoYOptionletVolatilitySurface *) | 
| sets the term structure to be used for pricing | |
| Real | impliedQuote () const | 
| Protected Attributes | |
| Real | notional_ | 
| YoYInflationCapFloor::Type | capFloorType_ | 
| Period | lag_ | 
| Natural | fixingDays_ | 
| boost::shared_ptr < YoYInflationIndex > | index_ | 
| Rate | strike_ | 
| Size | n_ | 
| DayCounter | yoyDayCounter_ | 
| Calendar | calendar_ | 
| boost::shared_ptr < YoYInflationCapFloorEngine > | pricer_ | 
| boost::shared_ptr < YoYInflationCapFloor > | yoyCapFloor_ | 
Year-on-year inflation-volatility bootstrap helper.
| void setTermStructure | ( | YoYOptionletVolatilitySurface * | ) |  [virtual] | 
sets the term structure to be used for pricing
Reimplemented from BootstrapHelper< YoYOptionletVolatilitySurface >.