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

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

virtual Date	latestDate () const
	latest relevant date

virtual void	update ()

virtual void	accept (AcyclicVisitor &)

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

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_

Protected Attributes inherited from BootstrapHelper< YoYOptionletVolatilitySurface >
Handle< Quote >	quote_

YoYOptionletVolatilitySurface *	termStructure_

Date	earliestDate_

Date	latestDate_

Detailed Description

Year-on-year inflation-volatility bootstrap helper.

Member Function Documentation

void setTermStructure ( YoYOptionletVolatilitySurface * )

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.