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 >())
virtual 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 ()=default
	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_
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

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]

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

explicit

Definition at line 26 of file cpicouponpricer.cpp.

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CPICouponPricer() [2/2]

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

explicit

Definition at line 31 of file cpicouponpricer.cpp.

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Member Function Documentation

capletVolatility()

virtual Handle< CPIVolatilitySurface > capletVolatility ( ) const

virtual

Definition at line 46 of file cpicouponpricer.hpp.

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nominalTermStructure()

virtual Handle< YieldTermStructure > nominalTermStructure ( ) const

virtual

Definition at line 50 of file cpicouponpricer.hpp.

setCapletVolatility()

void setCapletVolatility ( const Handle< CPIVolatilitySurface > &  capletVol )

virtual

Definition at line 38 of file cpicouponpricer.cpp.

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swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 129 of file cpicouponpricer.cpp.

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swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 135 of file cpicouponpricer.cpp.

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capletPrice()

Real capletPrice ( Rate  effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 51 of file cpicouponpricer.cpp.

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capletRate()

Rate capletRate ( Rate  effectiveCap ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 61 of file cpicouponpricer.cpp.

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floorletPrice()

Real floorletPrice ( Rate  effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 46 of file cpicouponpricer.cpp.

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floorletRate()

Rate floorletRate ( Rate  effectiveFloor ) const

overridevirtual

Implements InflationCouponPricer.

Definition at line 57 of file cpicouponpricer.cpp.

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initialize()

void initialize ( const InflationCoupon &  coupon )

overridevirtual

Implements InflationCouponPricer.

Definition at line 110 of file cpicouponpricer.cpp.

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accruedRate()

Rate accruedRate ( Date  settlementDate ) const

virtual

Definition at line 140 of file cpicouponpricer.cpp.

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optionletPrice()

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

protectedvirtual

Definition at line 74 of file cpicouponpricer.cpp.

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optionletRate()

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

protectedvirtual

Definition at line 81 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 66 of file cpicouponpricer.cpp.

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Member Data Documentation

capletVol_

Handle<CPIVolatilitySurface> capletVol_

protected

Definition at line 88 of file cpicouponpricer.hpp.

nominalTermStructure_

Handle<YieldTermStructure> nominalTermStructure_

protected

Definition at line 89 of file cpicouponpricer.hpp.

coupon_

const CPICoupon* coupon_

protected

Definition at line 90 of file cpicouponpricer.hpp.

gearing_

Real gearing_

protected

Definition at line 91 of file cpicouponpricer.hpp.

discount_

Real discount_

protected

Definition at line 92 of file cpicouponpricer.hpp.