YoYInflationCouponPricer Class Reference
base pricer for capped/floored YoY inflation coupons More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Inheritance diagram for YoYInflationCouponPricer:

Public Member Functions | |
| YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >()) | |
|
virtual Handle < YoYOptionletVolatilitySurface > | capletVolatility () const |
| virtual void | setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol) |
InflationCouponPricer interface | |
| 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 &) |
Protected Member Functions | |
| virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| car replace this if really required | |
| virtual Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
| virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
|
Handle < YoYOptionletVolatilitySurface > | capletVol_ |
| data | |
| const YoYInflationCoupon * | coupon_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | discount_ |
| Real | spreadLegValue_ |
Detailed Description
base pricer for capped/floored YoY inflation coupons
- Note:
- this pricer can already do swaplets but to get volatility-dependent coupons you need the descendents.
Member Function Documentation
| virtual Real optionletPriceImp | ( | Option::Type | , | |
| Real | strike, | |||
| Real | forward, | |||
| Real | stdDev | |||
| ) | const [protected, virtual] |
usually only need implement this (of course they may need to re-implement initialize too ...)
Reimplemented in BlackYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BachelierYoYInflationCouponPricer.