base pricer for capped/floored YoY inflation coupons More...

#include <qle/cashflows/nonstandardinflationcouponpricer.hpp>

Inheritance diagram for NonStandardYoYInflationCouponPricer:

Collaboration diagram for NonStandardYoYInflationCouponPricer:

Public Member Functions
	NonStandardYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)

	NonStandardYoYInflationCouponPricer (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)

InflationCouponPricer interface
Handle< YoYOptionletVolatilitySurface >	capletVol_
	data More...

Handle< YieldTermStructure >	nominalTermStructure_

const NonStandardYoYInflationCoupon *	coupon_

Real	gearing_

Spread	spread_

Real	discount_

virtual Real	swapletPrice () const override

virtual Rate	swapletRate () const override

virtual Real	capletPrice (Rate effectiveCap) const override

virtual Rate	capletRate (Rate effectiveCap) const override

virtual Real	floorletPrice (Rate effectiveFloor) const override

virtual Rate	floorletRate (Rate effectiveFloor) const override

virtual void	initialize (const InflationCoupon &) override

virtual Real	optionletPrice (Option::Type optionType, Real effStrike) const

virtual Real	optionletRate (Option::Type optionType, Real effStrike) const

virtual Real	optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const

virtual Rate	adjustedFixing (Rate fixing=Null< Rate >()) const

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.

Definition at line 46 of file nonstandardinflationcouponpricer.hpp.

Constructor & Destructor Documentation

◆ NonStandardYoYInflationCouponPricer() [1/2]

NonStandardYoYInflationCouponPricer ( const Handle< YieldTermStructure > & nominalTermStructure )

Definition at line 41 of file nonstandardinflationcouponpricer.cpp.

    : nominalTermStructure_(std::move(nominalTermStructure)) {
    registerWith(nominalTermStructure_);
}

◆ NonStandardYoYInflationCouponPricer() [2/2]

NonStandardYoYInflationCouponPricer	(	const Handle< YoYOptionletVolatilitySurface > &	capletVol,
		const Handle< YieldTermStructure > &	nominalTermStructure
	)

Definition at line 47 of file nonstandardinflationcouponpricer.cpp.

    : capletVol_(capletVol), nominalTermStructure_(nominalTermStructure) {
    registerWith(capletVol_);
    registerWith(nominalTermStructure_);
}

Member Function Documentation

◆ capletVolatility()

virtual Handle< YoYOptionletVolatilitySurface > capletVolatility ( ) const

virtual

Definition at line 52 of file nonstandardinflationcouponpricer.hpp.

52{ return capletVol_; }

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◆ nominalTermStructure()

virtual Handle< YieldTermStructure > nominalTermStructure ( ) const

virtual

Definition at line 54 of file nonstandardinflationcouponpricer.hpp.

54{ return nominalTermStructure_; }

◆ setCapletVolatility()

void setCapletVolatility ( const Handle< YoYOptionletVolatilitySurface > & capletVol )

virtual

Definition at line 54 of file nonstandardinflationcouponpricer.cpp.

                                                                                                                    {
    QL_REQUIRE(!capletVol.empty(), "empty capletVol handle");
    capletVol_ = capletVol;
    registerWith(capletVol_);
}

◆ swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Definition at line 138 of file nonstandardinflationcouponpricer.cpp.

                                                             {
    QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");
    return swapletRate() * coupon_->accrualPeriod() * discount_;
}

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◆ swapletRate()

Rate swapletRate ( ) const

overridevirtual

Definition at line 143 of file nonstandardinflationcouponpricer.cpp.

                                                            {
    // This way we do not require the index to have
    // a yield curve, i.e. we do not get the problem
    // that a discounting-instrument-pricer is used
    // with a different yield curve
    return gearing_ * adjustedFixing() + spread_;
}

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◆ capletPrice()

Real capletPrice ( Rate effectiveCap ) const

overridevirtual

Definition at line 65 of file nonstandardinflationcouponpricer.cpp.

                                                                             {
    Real capletPrice = optionletPrice(Option::Call, effectiveCap);
    return gearing_ * capletPrice;
}

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◆ capletRate()

Rate capletRate ( Rate effectiveCap ) const

overridevirtual

Definition at line 74 of file nonstandardinflationcouponpricer.cpp.

                                                                            {
    return gearing_ * optionletRate(Option::Call, effectiveCap);
}

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◆ floorletPrice()

Real floorletPrice ( Rate effectiveFloor ) const

overridevirtual

Definition at line 60 of file nonstandardinflationcouponpricer.cpp.

                                                                                 {
    Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
    return gearing_ * floorletPrice;
}

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◆ floorletRate()

Rate floorletRate ( Rate effectiveFloor ) const

overridevirtual

Definition at line 70 of file nonstandardinflationcouponpricer.cpp.

                                                                                {
    return gearing_ * optionletRate(Option::Put, effectiveFloor);
}

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◆ initialize()

void initialize ( const InflationCoupon & coupon )

overridevirtual

Definition at line 117 of file nonstandardinflationcouponpricer.cpp.

                                                                                  {
    coupon_ = dynamic_cast<const NonStandardYoYInflationCoupon*>(&coupon);
    QL_REQUIRE(coupon_, "year-on-year inflation coupon needed");
    gearing_ = coupon_->gearing();
    spread_ = coupon_->spread();
    paymentDate_ = coupon_->date();
    
    // past or future fixing is managed in YoYInflationIndex::fixing()
    // use yield curve from index (which sets discount)
 
    discount_ = 1.0;
    if (paymentDate_ > nominalTermStructure_->referenceDate()) {
        if (nominalTermStructure_.empty()) {
            // allow to extract rates, but mark the discount as invalid for prices
            discount_ = Null<Real>();
        } else {
            discount_ = nominalTermStructure_->discount(paymentDate_);
        }
    }
}

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◆ optionletPrice()

Real optionletPrice	(	Option::Type	optionType,
		Real	effStrike
	)		const

protectedvirtual

Definition at line 82 of file nonstandardinflationcouponpricer.cpp.

                                                                                                    {
    QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");
    return optionletRate(optionType, effStrike) * coupon_->accrualPeriod() * discount_;
}

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◆ optionletRate()

Real optionletRate	(	Option::Type	optionType,
		Real	effStrike
	)		const

protectedvirtual

Definition at line 87 of file nonstandardinflationcouponpricer.cpp.

                                                                                                   {
    Date fixingDate = coupon_->fixingDate();
    if (fixingDate <= Settings::instance().evaluationDate()) {
        // the amount is determined
        Real a, b;
        if (optionType == Option::Call) {
            a = coupon_->indexFixing();
            b = effStrike;
        } else {
            a = effStrike;
            b = coupon_->indexFixing();
        }
        return std::max(a - b, 0.0);
    } else {
        // not yet determined, use Black/DD1/Bachelier/whatever from Impl
        QL_REQUIRE(!capletVolatility().empty(), "missing optionlet volatility");
        Real stdDev = std::sqrt(capletVolatility()->totalVariance(fixingDate, effStrike));
        return optionletPriceImp(optionType, effStrike, adjustedFixing(), stdDev);
    }
}

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◆ optionletPriceImp()

Real optionletPriceImp	(	Option::Type	,
		Real	strike,
		Real	forward,
		Real	stdDev
	)		const

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 in NonStandardBlackYoYInflationCouponPricer, NonStandardUnitDisplacedBlackYoYInflationCouponPricer, and NonStandardBachelierYoYInflationCouponPricer.

Definition at line 78 of file nonstandardinflationcouponpricer.cpp.

                                                                                              {
    QL_FAIL("you must implement this to get a vol-dependent price");
}

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◆ adjustedFixing()

Rate adjustedFixing ( Rate fixing = Null<Rate>() ) const

protectedvirtual

Definition at line 108 of file nonstandardinflationcouponpricer.cpp.

                                                                          {
 
    if (fixing == Null<Rate>())
        fixing = coupon_->indexFixing();
 
    // no adjustment
    return fixing;
}