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QuantLib_InflationCouponPricer

NAME

QuantLib::InflationCouponPricer -

Base inflation-coupon pricer.

SYNOPSIS

#include <ql/cashflows/inflationcouponpricer.hpp>

Inherits QuantLib::Observer, and QuantLib::Observable.

Inherited by YoYInflationCouponPricer.

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

Observer interface

 

virtual void update ()

Protected Attributes

Handle< YieldTermStructure > rateCurve_

Date paymentDate_

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.

Author

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