Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

QuantLib::YoYInflationCouponPricer Class Reference

#include <inflationcouponpricer.hpp>

Inheritance diagram for QuantLib::YoYInflationCouponPricer:

QuantLib::InflationCouponPricer QuantLib::Observer QuantLib::Observable QuantLib::BachelierYoYInflationCouponPricer QuantLib::BlackYoYInflationCouponPricer QuantLib::UnitDisplacedBlackYoYInflationCouponPricer

List of all members.

Detailed Description

base pricer for capped/floored YoY inflation coupons

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

Definition at line 82 of file inflationcouponpricer.hpp.

Public Member Functions

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 > &)
 YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >())
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
virtual Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const

Protected Attributes

< YoYOptionletVolatilitySurface
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:

Generated by  Doxygen 1.6.0   Back to index