InflationCouponPricer Class Reference

Base inflation-coupon pricer. More...

#include <ql/cashflows/inflationcouponpricer.hpp>

Inheritance diagram for InflationCouponPricer:

Public Member Functions
Interface
virtual Real	swapletPrice () const =0
virtual Rate	swapletRate () const =0
virtual Real	capletPrice (Rate effectiveCap) const =0
virtual Rate	capletRate (Rate effectiveCap) const =0
virtual Real	floorletPrice (Rate effectiveFloor) const =0
virtual Rate	floorletRate (Rate effectiveFloor) const =0
virtual void	initialize (const InflationCoupon &)=0
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 &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Observer interface
Date	paymentDate_
void	update () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Base inflation-coupon pricer.

The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an InterestRateIndex and we need an inflation index (these are lagged).

The basic inflation-specific thing that the pricer has to do is deal with different lags in the index and the option e.g. the option could look 3 months back and the index 2.

We add the requirement that pricers do inverseCap/Floor-lets. These are cap/floor-lets as usually defined, i.e. pay out if underlying is above/below a strike. The non-inverse (usual) versions are from a coupon point of view (a capped coupon has a maximum at the strike).

We add the inverse prices so that conventional caps can be priced simply.

Member Function Documentation

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.