Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Inheritance diagram for UnitDisplacedBlackYoYInflationCouponPricer:Public Member Functions | |
| QL_DEPRECATED | UnitDisplacedBlackYoYInflationCouponPricer () |
| UnitDisplacedBlackYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
| UnitDisplacedBlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
Public Member Functions inherited from YoYInflationCouponPricer | |
| 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) |
| 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 &) |
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 () |
Protected Member Functions | |
| Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
Protected Member Functions inherited from YoYInflationCouponPricer | |
| virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| virtual Real | optionletRate (Option::Type optionType, Real effStrike) 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 YoYInflationCouponPricer | |
| Handle< YoYOptionletVolatilitySurface > | capletVol_ |
| data | |
| Handle< YieldTermStructure > | nominalTermStructure_ |
| const YoYInflationCoupon * | coupon_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | discount_ |
Protected Attributes inherited from InflationCouponPricer | |
| Handle< YieldTermStructure > | rateCurve_ |
| Date | paymentDate_ |
Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.
| QL_DEPRECATED UnitDisplacedBlackYoYInflationCouponPricer | ( | ) |
|
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 from YoYInflationCouponPricer.