base pricer for capped/floored YoY inflation coupons More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Public Member Functions | |
YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >()) | |
virtual Handle< YoYOptionletVolatilitySurface > | capletVolatility () const |
virtual void | setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol) |
InflationCouponPricer interface | |
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 &) |
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virtual void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
car replace this if really required | |
virtual Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
Handle< YoYOptionletVolatilitySurface > | capletVol_ |
data | |
const YoYInflationCoupon * | coupon_ |
Real | gearing_ |
Spread | spread_ |
Real | discount_ |
Real | spreadLegValue_ |
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Handle< YieldTermStructure > | rateCurve_ |
Date | paymentDate_ |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
base pricer for capped/floored YoY inflation coupons
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protectedvirtual |
usually only need implement this (of course they may need to re-implement initialize too ...)
Reimplemented in BachelierYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BlackYoYInflationCouponPricer.