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QuantLib::BachelierYoYInflationCouponPricer Class Reference

#include <inflationcouponpricer.hpp>

Inheritance diagram for QuantLib::BachelierYoYInflationCouponPricer:

QuantLib::YoYInflationCouponPricer QuantLib::InflationCouponPricer QuantLib::Observer QuantLib::Observable

List of all members.


Detailed Description

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

Definition at line 159 of file inflationcouponpricer.hpp.


Public Member Functions

 BachelierYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >())
virtual Handle
< YoYOptionletVolatilitySurface
capletVolatility () const
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
virtual void setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol)
void unregisterWith (const boost::shared_ptr< Observable > &)
InflationCouponPricer interface
virtual Real capletPrice (Rate effectiveCap) const
virtual Rate capletRate (Rate effectiveCap) const
virtual Real floorletPrice (Rate effectiveFloor) const
virtual Rate floorletRate (Rate effectiveFloor) const
virtual void initialize (const InflationCoupon &)
virtual Real swapletPrice () const
virtual Rate swapletRate () const
Observer interface
virtual void update ()

Protected Member Functions

virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const
virtual Real optionletPrice (Option::Type optionType, Real effStrike) const
 car replace this if really required
Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const

Protected Attributes

Handle
< YoYOptionletVolatilitySurface
capletVol_
 data
const YoYInflationCouponcoupon_
Real discount_
Real gearing_
Date paymentDate_
Handle< YieldTermStructurerateCurve_
Spread spread_
Real spreadLegValue_

The documentation for this class was generated from the following files:

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