Black-formula pricer for capped/floored yoy inflation coupons. More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Public Member Functions | |
QL_DEPRECATED | BlackYoYInflationCouponPricer () |
BlackYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
BlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
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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) |
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 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 () |
Protected Member Functions | |
Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
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virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
virtual Real | optionletRate (Option::Type optionType, Real effStrike) 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< YoYOptionletVolatilitySurface > | capletVol_ |
data | |
Handle< YieldTermStructure > | nominalTermStructure_ |
const YoYInflationCoupon * | coupon_ |
Real | gearing_ |
Spread | spread_ |
Real | discount_ |
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Handle< YieldTermStructure > | rateCurve_ |
Date | paymentDate_ |
Black-formula pricer for capped/floored yoy inflation coupons.
QL_DEPRECATED BlackYoYInflationCouponPricer | ( | ) |
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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 from YoYInflationCouponPricer.