QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Member Functions | List of all members
BlackYoYInflationCouponPricer Class Reference

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< YoYOptionletVolatilitySurfacecapletVolatility () 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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< YoYOptionletVolatilitySurfacecapletVol_
 data
 
const YoYInflationCouponcoupon_
 
Real gearing_
 
Spread spread_
 
Real discount_
 
Real spreadLegValue_
 
- Protected Attributes inherited from InflationCouponPricer
Handle< YieldTermStructurerateCurve_
 
Date paymentDate_
 

Detailed Description

Black-formula pricer for capped/floored yoy inflation coupons.

Member Function Documentation

Real optionletPriceImp ( Option::Type  ,
Real  strike,
Real  forward,
Real  stdDev 
) const
protectedvirtual

usually only need implement this (of course they may need to re-implement initialize too ...)

Reimplemented from YoYInflationCouponPricer.