QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Attributes | List of all members
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, 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 More...
 
Real impliedQuote () const
 
- Public Member Functions inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date maturityDate () const
 instrument's maturity date
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
virtual void update ()
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

Real notional_
 
YoYInflationCapFloor::Type capFloorType_
 
Period lag_
 
Natural fixingDays_
 
boost::shared_ptr< YoYInflationIndexindex_
 
Rate strike_
 
Size n_
 
DayCounter yoyDayCounter_
 
Calendar calendar_
 
boost::shared_ptr< YoYInflationCapFloorEnginepricer_
 
boost::shared_ptr< YoYInflationCapFlooryoyCapFloor_
 
- Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
Handle< Quotequote_
 
YoYOptionletVolatilitySurfacetermStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Member Function Documentation

◆ setTermStructure()

void setTermStructure ( YoYOptionletVolatilitySurface t)
virtual

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 >.