24#ifndef quantlib_cpicouponpricer_hpp
25#define quantlib_cpicouponpricer_hpp
77 Real effStrike)
const;
80 Real effStrike)
const;
94 [[deprecated(
"Do not use this method. In derived classes, override accruedRate.")]]
105 [[deprecated(
"Do not use this data member. A spread doesn't make sense for these coupons.")]]
Base class for cash flows.
Coupon paying the performance of a CPI (zero inflation) index
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
void initialize(const InflationCoupon &) override
QL_DEPRECATED_DISABLE_WARNING ~CPICouponPricer() override=default
Handle< CPIVolatilitySurface > capletVol_
Real capletPrice(Rate effectiveCap) const override
Rate floorletRate(Rate effectiveFloor) const override
virtual Rate adjustedFixing(Rate fixing=Null< Rate >()) const
virtual QL_DEPRECATED_ENABLE_WARNING Handle< CPIVolatilitySurface > capletVolatility() const
virtual void setCapletVolatility(const Handle< CPIVolatilitySurface > &capletVol)
Handle< YieldTermStructure > nominalTermStructure_
virtual Real optionletPrice(Option::Type optionType, Real effStrike) const
virtual Handle< YieldTermStructure > nominalTermStructure() const
virtual Rate accruedRate(Date settlementDate) const
const CPICoupon * coupon_
virtual Real optionletRate(Option::Type optionType, Real effStrike) const
virtual Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const
Rate swapletRate() const override
Real floorletPrice(Rate effectiveFloor) const override
Real swapletPrice() const override
Rate capletRate(Rate effectiveCap) const override
Shared handle to an observable.
Base inflation-coupon class.
Base inflation-coupon pricer.
template class providing a null value for a given type.
Coupon paying a zero-inflation index.
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
Real Spread
spreads on interest rates
#define QL_DEPRECATED_DISABLE_WARNING
#define QL_DEPRECATED_ENABLE_WARNING