QuantLib_InflationCouponPricer man page

InflationCouponPricer — Base inflation-coupon pricer.  


#include <ql/cashflows/inflationcouponpricer.hpp>

Inherits Observer, and Observable.

Inherited by CPICouponPricer, and YoYInflationCouponPricer.

Public Member Functions


virtual Real swapletPrice () const =0
virtual Rate swapletRate () const =0
virtual Real capletPrice (Rate effectiveCap) const =0
virtual Rate capletRate (Rate effectiveCap) const =0
virtual Real floorletPrice (Rate effectiveFloor) const =0
virtual Rate floorletRate (Rate effectiveFloor) const =0
virtual void initialize (const InflationCoupon &)=0

Observer interface

virtual void update ()

Protected Attributes

Handle< YieldTermStructure > rateCurve_
Date paymentDate_

Additional Inherited Members

Detailed Description

Base inflation-coupon pricer.

The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an InterestRateIndex and we need an inflation index (these are lagged).

The basic inflation-specific thing that the pricer has to do is deal with different lags in the index and the option e.g. the option could look 3 months back and the index 2.

We add the requirement that pricers do inverseCap/Floor-lets. These are cap/floor-lets as usually defined, i.e. pay out if underlying is above/below a strike. The non-inverse (usual) versions are from a coupon point of view (a capped coupon has a maximum at the strike).

We add the inverse prices so that conventional caps can be priced simply.

Member Function Documentation

virtual void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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Fri Feb 10 2017 Version 1.9.1 QuantLib