Black-formula pricer for capped/floored yoy inflation coupons. More...

#include <inflationcouponpricer.hpp>

Inheritance diagram for BlackYoYInflationCouponPricer:

Collaboration diagram for BlackYoYInflationCouponPricer:

Public Member Functions
	BlackYoYInflationCouponPricer ()

	BlackYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)

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

Public Member Functions inherited from YoYInflationCouponPricer
	YoYInflationCouponPricer ()=default

	YoYInflationCouponPricer (Handle< YieldTermStructure > nominalTermStructure)

	YoYInflationCouponPricer (Handle< YoYOptionletVolatilitySurface > capletVol, Handle< YieldTermStructure > nominalTermStructure)

virtual Handle< YoYOptionletVolatilitySurface >	capletVolatility () const

virtual Handle< YieldTermStructure >	nominalTermStructure () const

virtual void	setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol)

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

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 ()

Protected Member Functions
Real	optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const override

Protected Member Functions inherited from YoYInflationCouponPricer
virtual Real	optionletPrice (Option::Type optionType, Real effStrike) const

virtual Real	optionletRate (Option::Type optionType, Real effStrike) 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 YoYInflationCouponPricer
Handle< YoYOptionletVolatilitySurface >	capletVol_
	data More...

Handle< YieldTermStructure >	nominalTermStructure_

const YoYInflationCoupon *	coupon_

Real	gearing_

Spread	spread_

Real	discount_

Protected Attributes inherited from InflationCouponPricer
Date	paymentDate_

Detailed Description

Black-formula pricer for capped/floored yoy inflation coupons.

Definition at line 146 of file inflationcouponpricer.hpp.

Constructor & Destructor Documentation

◆ BlackYoYInflationCouponPricer() [1/3]

BlackYoYInflationCouponPricer ( )

Definition at line 148 of file inflationcouponpricer.hpp.

◆ BlackYoYInflationCouponPricer() [2/3]

BlackYoYInflationCouponPricer ( const Handle< YieldTermStructure > & nominalTermStructure )

explicit

Definition at line 152 of file inflationcouponpricer.hpp.

◆ BlackYoYInflationCouponPricer() [3/3]

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

Definition at line 156 of file inflationcouponpricer.hpp.

Member Function Documentation

◆ optionletPriceImp()

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

overrideprotectedvirtual

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 from YoYInflationCouponPricer.

Definition at line 178 of file inflationcouponpricer.cpp.

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Public Member Functions

Protected Member Functions