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 (Handle< YieldTermStructure > nominalTermStructure)
	YoYInflationCouponPricer (Handle< YoYOptionletVolatilitySurface > capletVol, 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
void	update () override
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 ()

InflationCouponPricer interface
Handle< YoYOptionletVolatilitySurface >	capletVol_
	data
Handle< YieldTermStructure >	nominalTermStructure_
const YoYInflationCoupon *	coupon_
Real	gearing_
Spread	spread_
Real	discount_
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
void	initialize (const InflationCoupon &) override
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 set_type::iterator	iterator
Date	paymentDate_

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

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements InflationCouponPricer.

swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements InflationCouponPricer.

capletPrice()

Real capletPrice ( Rate effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

capletRate()

Rate capletRate ( Rate effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

floorletPrice()

Real floorletPrice ( Rate effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

floorletRate()

Rate floorletRate ( Rate effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

initialize()

void initialize ( const InflationCoupon & )

overridevirtual

Implements InflationCouponPricer.

optionletPriceImp()

virtual Real optionletPriceImp ( Option::Type , Real strike, Real forward, Real stdDev ) const

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, BlackYoYInflationCouponPricer, and UnitDisplacedBlackYoYInflationCouponPricer.