base pricer for capped/floored YoY inflation coupons More...
#include <ql/cashflows/inflationcouponpricer.hpp>
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) |
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virtual void | update () |
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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 () |
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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 | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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Handle< YieldTermStructure > | rateCurve_ |
Date | paymentDate_ |
base pricer for capped/floored YoY inflation coupons
QL_DEPRECATED YoYInflationCouponPricer | ( | ) |
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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.