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QuantLib_YoYInflationCouponPricer

NAME

QuantLib::YoYInflationCouponPricer -

base pricer for capped/floored YoY inflation coupons

SYNOPSIS

#include <ql/cashflows/inflationcouponpricer.hpp>

Inherits QuantLib::InflationCouponPricer.

Inherited by BachelierYoYInflationCouponPricer, BlackYoYInflationCouponPricer, and UnitDisplacedBlackYoYInflationCouponPricer.

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 &)

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_

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

virtual Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const [protected, virtual]usually only need implement this (of course they may need to re-implement initialize too ...)

Reimplemented in BlackYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BachelierYoYInflationCouponPricer.

Author

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