CPICouponPricer Class Reference

base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...

#include <cpicouponpricer.hpp>

Inheritance diagram for CPICouponPricer:

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Public Member Functions
	CPICouponPricer (Handle< YieldTermStructure > nominalTermStructure=Handle< YieldTermStructure >())
	CPICouponPricer (Handle< CPIVolatilitySurface > capletVol, Handle< YieldTermStructure > nominalTermStructure=Handle< YieldTermStructure >())
QL_DEPRECATED_DISABLE_WARNING	~CPICouponPricer () override=default
virtual QL_DEPRECATED_ENABLE_WARNING Handle< CPIVolatilitySurface >	capletVolatility () const
virtual Handle< YieldTermStructure >	nominalTermStructure () const
virtual void	setCapletVolatility (const Handle< CPIVolatilitySurface > &capletVol)
Public Member Functions inherited from InflationCouponPricer
QL_DEPRECATED_DISABLE_WARNING	InflationCouponPricer ()=default
	~InflationCouponPricer () override=default
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

InflationCouponPricer interface
Handle< CPIVolatilitySurface >	capletVol_
Handle< YieldTermStructure >	nominalTermStructure_
const CPICoupon *	coupon_
Real	gearing_
Spread	spread_
Real	discount_
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
void	initialize (const InflationCoupon &) override
virtual Rate	accruedRate (Date settlementDate) const
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

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from InflationCouponPricer
Date	paymentDate_

Detailed Description

base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO

Note

this pricer can already do swaplets but to get volatility-dependent coupons you need to implement the descendents.

Definition at line 39 of file cpicouponpricer.hpp.

Constructor & Destructor Documentation

CPICouponPricer() [1/2]

QL_DEPRECATED_DISABLE_WARNING CPICouponPricer ( Handle< YieldTermStructure >  nominalTermStructure = Handle<YieldTermStructure>() )

explicit

Definition at line 28 of file cpicouponpricer.cpp.

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CPICouponPricer() [2/2]

CPICouponPricer ( Handle< CPIVolatilitySurface >  capletVol, Handle< YieldTermStructure >  nominalTermStructure = Handle<YieldTermStructure>()  )

explicit

Definition at line 33 of file cpicouponpricer.cpp.

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~CPICouponPricer()

QL_DEPRECATED_DISABLE_WARNING ~CPICouponPricer ( )

overridedefault

Member Function Documentation

capletVolatility()

virtual QL_DEPRECATED_ENABLE_WARNING Handle< CPIVolatilitySurface > capletVolatility ( ) const

virtual

Definition at line 50 of file cpicouponpricer.hpp.

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nominalTermStructure()

virtual Handle< YieldTermStructure > nominalTermStructure ( ) const

virtual

Definition at line 54 of file cpicouponpricer.hpp.

setCapletVolatility()

QL_DEPRECATED_ENABLE_WARNING void setCapletVolatility ( const Handle< CPIVolatilitySurface > &  capletVol )

virtual

Definition at line 42 of file cpicouponpricer.cpp.

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swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 146 of file cpicouponpricer.cpp.

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swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 152 of file cpicouponpricer.cpp.

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capletPrice()

Real capletPrice ( Rate  effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 55 of file cpicouponpricer.cpp.

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capletRate()

Rate capletRate ( Rate  effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 65 of file cpicouponpricer.cpp.

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floorletPrice()

Real floorletPrice ( Rate  effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 50 of file cpicouponpricer.cpp.

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floorletRate()

Rate floorletRate ( Rate  effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 61 of file cpicouponpricer.cpp.

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initialize()

void initialize ( const InflationCoupon &  coupon )

overridevirtual

Implements InflationCouponPricer.

Definition at line 124 of file cpicouponpricer.cpp.

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accruedRate()

Rate accruedRate ( Date  settlementDate ) const

virtual

Definition at line 161 of file cpicouponpricer.cpp.

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optionletPrice()

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

protectedvirtual

Definition at line 78 of file cpicouponpricer.cpp.

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optionletRate()

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

protectedvirtual

Definition at line 85 of file cpicouponpricer.cpp.

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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).

Definition at line 70 of file cpicouponpricer.cpp.

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adjustedFixing()

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

protectedvirtual

Deprecated:

Don't use this method. In derived classes, override accruedRate. Deprecated in version 1.31.

Definition at line 116 of file cpicouponpricer.cpp.

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Member Data Documentation

capletVol_

Handle<CPIVolatilitySurface> capletVol_

protected

Definition at line 98 of file cpicouponpricer.hpp.

nominalTermStructure_

Handle<YieldTermStructure> nominalTermStructure_

protected

Definition at line 99 of file cpicouponpricer.hpp.

coupon_

const CPICoupon* coupon_

protected

Definition at line 100 of file cpicouponpricer.hpp.

gearing_

Real gearing_

protected

Definition at line 101 of file cpicouponpricer.hpp.

spread_

Spread spread_

protected

Deprecated:

Don't use this data member. A spread doesn't make sense for this coupon. Deprecated in version 1.31.

Definition at line 106 of file cpicouponpricer.hpp.

discount_

Real discount_

protected

Definition at line 107 of file cpicouponpricer.hpp.