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QuantLib_InflationCouponPricer
Langue: en
Version: 377772 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::InflationCouponPricer -Base inflation-coupon pricer.
SYNOPSIS
#include <ql/cashflows/inflationcouponpricer.hpp>
Inherits QuantLib::Observer, and QuantLib::Observable.
Inherited by YoYInflationCouponPricer.
Public Member Functions
Interface
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_
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.
Author
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