QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base pricer for capped/floored YoY inflation coupons More...
#include <inflationcouponpricer.hpp>
InflationCouponPricer interface | |
Handle< YoYOptionletVolatilitySurface > | capletVol_ |
data More... | |
Handle< YieldTermStructure > | nominalTermStructure_ |
const YoYInflationCoupon * | 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 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_ |
base pricer for capped/floored YoY inflation coupons
Definition at line 88 of file inflationcouponpricer.hpp.
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explicit |
YoYInflationCouponPricer | ( | Handle< YoYOptionletVolatilitySurface > | capletVol, |
Handle< YieldTermStructure > | nominalTermStructure | ||
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Definition at line 97 of file inflationcouponpricer.hpp.
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Definition at line 101 of file inflationcouponpricer.hpp.
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virtual |
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overridevirtual |
Implements InflationCouponPricer.
Definition at line 157 of file inflationcouponpricer.cpp.
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overridevirtual |
Implements InflationCouponPricer.
Definition at line 163 of file inflationcouponpricer.cpp.
Implements InflationCouponPricer.
Definition at line 65 of file inflationcouponpricer.cpp.
Implements InflationCouponPricer.
Definition at line 75 of file inflationcouponpricer.cpp.
Implements InflationCouponPricer.
Definition at line 60 of file inflationcouponpricer.cpp.
Implements InflationCouponPricer.
Definition at line 71 of file inflationcouponpricer.cpp.
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overridevirtual |
Implements InflationCouponPricer.
Definition at line 136 of file inflationcouponpricer.cpp.
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protectedvirtual |
Definition at line 89 of file inflationcouponpricer.cpp.
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protectedvirtual |
Definition at line 96 of file inflationcouponpricer.cpp.
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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).
Reimplemented in BlackYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BachelierYoYInflationCouponPricer.
Definition at line 80 of file inflationcouponpricer.cpp.
Definition at line 126 of file inflationcouponpricer.cpp.
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protected |
data
Definition at line 136 of file inflationcouponpricer.hpp.
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protected |
Definition at line 137 of file inflationcouponpricer.hpp.
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protected |
Definition at line 138 of file inflationcouponpricer.hpp.
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protected |
Definition at line 139 of file inflationcouponpricer.hpp.
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protected |
Definition at line 140 of file inflationcouponpricer.hpp.
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protected |
Definition at line 141 of file inflationcouponpricer.hpp.