QuantLib_CPICouponPricer man page

CPICouponPricer — base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO

Synopsis

#include <ql/cashflows/cpicouponpricer.hpp>

Inherits InflationCouponPricer.

Public Member Functions

CPICouponPricer (const Handle< CPIVolatilitySurface > &capletVol=Handle< CPIVolatilitySurface >())

virtual Handle< CPIVolatilitySurface > capletVolatility () const

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

InflationCouponPricer interface

virtual Real swapletPrice () const

virtual Rate swapletRate () const

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 &)

Protected Member Functions

virtual Real optionletPrice (Option::Type optionType, Real effStrike) const
can replace this if really required
virtual Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const

virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const

Protected Attributes

Handle< CPIVolatilitySurface > capletVol_
data
const CPICoupon * coupon_

Real gearing_

Spread spread_

Real discount_

Real spreadLegValue_

Additional Inherited Members

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.

Member Function Documentation

virtual Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const [protected], [virtual]

usually only need implement this (of course they may need to re-implement initialize too ...)

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

capletVol_(3), capletVolatility(3), CPICouponPricer(3) and setCapletVolatility(3) are aliases of QuantLib_CPICouponPricer(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib