base pricer for capped/floored YoY inflation coupons More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Inheritance diagram for YoYInflationCouponPricer:Public Member Functions | |
| QL_DEPRECATED | YoYInflationCouponPricer () |
| YoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
| YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
| virtual Handle< YoYOptionletVolatilitySurface > | capletVolatility () const |
| virtual Handle< YieldTermStructure > | nominalTermStructure () const |
| virtual void | setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol) |
Public Member Functions inherited from InflationCouponPricer | |
| virtual void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const 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 | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
InflationCouponPricer interface | |
| Handle< YoYOptionletVolatilitySurface > | capletVol_ |
| data | |
| Handle< YieldTermStructure > | nominalTermStructure_ |
| const YoYInflationCoupon * | coupon_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | discount_ |
| virtual Real | swapletPrice () const |
| virtual Rate | swapletRate () const |
| virtual Real | capletPrice (Rate effectiveCap) const |
| virtual Rate | capletRate (Rate effectiveCap) const |
| virtual Real | floorletPrice (Rate effectiveFloor) const |
| virtual Rate | floorletRate (Rate effectiveFloor) const |
| virtual void | initialize (const InflationCoupon &) |
| virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| virtual Real | optionletRate (Option::Type optionType, Real effStrike) const |
| virtual Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
| virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from InflationCouponPricer | |
| Handle< YieldTermStructure > | rateCurve_ |
| Date | paymentDate_ |
base pricer for capped/floored YoY inflation coupons
| QL_DEPRECATED YoYInflationCouponPricer | ( | ) |
|
protectedvirtual |
Derived classes usually only need to implement this.
The name of the method is misleading. This actually returns the rate of the optionlet (so not discounted and not accrued).
Reimplemented in BachelierYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BlackYoYInflationCouponPricer.