Base inflation-coupon pricer. More...
#include <inflationcouponpricer.hpp>
Inheritance diagram for InflationCouponPricer:
Collaboration diagram for InflationCouponPricer:
Public Member Functions | |
| QL_DEPRECATED_DISABLE_WARNING | InflationCouponPricer ()=default |
| ~InflationCouponPricer () override=default | |
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 ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| 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.
Definition at line 53 of file inflationcouponpricer.hpp.
Constructor & Destructor Documentation
◆ InflationCouponPricer()
|
default |
◆ ~InflationCouponPricer()
|
overridedefault |
Member Function Documentation
◆ swapletPrice()
|
pure virtual |
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ swapletRate()
|
pure virtual |
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ capletPrice()
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ capletRate()
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ floorletPrice()
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ floorletRate()
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ initialize()
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pure virtual |
Implemented in CPICouponPricer, and YoYInflationCouponPricer.
◆ update()
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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.
Definition at line 73 of file inflationcouponpricer.hpp.
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Member Data Documentation
◆ paymentDate_
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protected |
Definition at line 76 of file inflationcouponpricer.hpp.