Black-formula pricer for capped/floored yoy inflation coupons. More...
#include <ql/cashflows/inflationcouponpricer.hpp>
Inheritance diagram for BlackYoYInflationCouponPricer:Public Member Functions | |
| BlackYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >()) | |
Public Member Functions inherited from YoYInflationCouponPricer | |
| YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol=Handle< YoYOptionletVolatilitySurface >()) | |
| virtual Handle< YoYOptionletVolatilitySurface > | capletVolatility () const |
| virtual void | setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol) |
| 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 &) |
Public Member Functions inherited from InflationCouponPricer | |
| virtual void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
Protected Member Functions inherited from YoYInflationCouponPricer | |
| virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| car replace this if really required | |
| virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from YoYInflationCouponPricer | |
| Handle< YoYOptionletVolatilitySurface > | capletVol_ |
| data | |
| const YoYInflationCoupon * | coupon_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | discount_ |
| Real | spreadLegValue_ |
Protected Attributes inherited from InflationCouponPricer | |
| Handle< YieldTermStructure > | rateCurve_ |
| Date | paymentDate_ |
Black-formula pricer for capped/floored yoy inflation coupons.
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protectedvirtual |
usually only need implement this (of course they may need to re-implement initialize too ...)
Reimplemented from YoYInflationCouponPricer.