QuantLib_YoYInflationCouponPricer man page

YoYInflationCouponPricer — base pricer for capped/floored YoY inflation coupons  


#include <ql/cashflows/inflationcouponpricer.hpp>

Inherits InflationCouponPricer.

Inherited by BachelierYoYInflationCouponPricer, BlackYoYInflationCouponPricer, and UnitDisplacedBlackYoYInflationCouponPricer.

Public Member Functions

YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >())
virtual Handle< YoYOptionletVolatilitySurface > capletVolatility () const
virtual void setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &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
car 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< YoYOptionletVolatilitySurface > capletVol_
const YoYInflationCoupon * coupon_
Real gearing_
Spread spread_
Real discount_
Real spreadLegValue_

Additional Inherited 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.

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 ...)

Reimplemented in BachelierYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BlackYoYInflationCouponPricer.


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Referenced By

The man page YoYInflationCouponPricer(3) is an alias of QuantLib_YoYInflationCouponPricer(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib