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QuantLib_YoYInflationCouponPricer
Langue: en
Version: 377277 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::YoYInflationCouponPricer -base pricer for capped/floored YoY inflation coupons
SYNOPSIS
#include <ql/cashflows/inflationcouponpricer.hpp>
Inherits QuantLib::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_
data
const YoYInflationCoupon * coupon_
Real gearing_
Spread spread_
Real discount_
Real spreadLegValue_
Detailed Description
base pricer for capped/floored YoY inflation coupons
Note:
- 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 BlackYoYInflationCouponPricer, UnitDisplacedBlackYoYInflationCouponPricer, and BachelierYoYInflationCouponPricer.
Author
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