nonstandardinflationcouponpricer.hpp File Reference

pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon. More...

#include <ql/cashflow.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <ql/option.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <qle/cashflows/nonstandardyoyinflationcoupon.hpp>

Go to the source code of this file.

Classes
class	NonStandardYoYInflationCouponPricer
	base pricer for capped/floored YoY inflation coupons More...
class	NonStandardBlackYoYInflationCouponPricer
	Black-formula pricer for capped/floored yoy inflation coupons. More...
class	NonStandardUnitDisplacedBlackYoYInflationCouponPricer
	Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More...
class	NonStandardBachelierYoYInflationCouponPricer
	Bachelier-formula pricer for capped/floored yoy inflation coupons. More...

Namespaces
namespace	QuantExt

Detailed Description

pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon.

Definition in file nonstandardinflationcouponpricer.hpp.