C# Class QLNet.UnitDisplacedBlackYoYInflationCouponPricer

Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons

Inheritance: YoYInflationCouponPricer

Mostra file Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
UnitDisplacedBlackYoYInflationCouponPricer ( Handle capletVol = null )

Protected Methods

Method	Description
optionletPriceImp ( Option optionType, double effStrike, double forward, double stdDev ) : double

Method Details

UnitDisplacedBlackYoYInflationCouponPricer() public method

public UnitDisplacedBlackYoYInflationCouponPricer ( Handle capletVol = null )
capletVol	Handle

optionletPriceImp() protected method

protected optionletPriceImp ( Option optionType, double effStrike, double forward, double stdDev ) : double
optionType	Option
effStrike	double
forward	double
stdDev	double
return	double