Bachelier-formula pricer for capped/floored yoy inflation coupons. More...
#include <qle/cashflows/nonstandardinflationcouponpricer.hpp>
Public Member Functions | |
NonStandardBachelierYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
NonStandardBachelierYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
Public Member Functions inherited from NonStandardYoYInflationCouponPricer | |
NonStandardYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
NonStandardYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
virtual Handle< YoYOptionletVolatilitySurface > | capletVolatility () const |
virtual Handle< YieldTermStructure > | nominalTermStructure () const |
virtual void | setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol) |
virtual Real | swapletPrice () const override |
virtual Rate | swapletRate () const override |
virtual Real | capletPrice (Rate effectiveCap) const override |
virtual Rate | capletRate (Rate effectiveCap) const override |
virtual Real | floorletPrice (Rate effectiveFloor) const override |
virtual Rate | floorletRate (Rate effectiveFloor) const override |
virtual void | initialize (const InflationCoupon &) override |
Protected Member Functions | |
Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const override |
Protected Member Functions inherited from NonStandardYoYInflationCouponPricer | |
virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
virtual Real | optionletRate (Option::Type optionType, Real effStrike) const |
virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Additional Inherited Members | |
Protected Attributes inherited from NonStandardYoYInflationCouponPricer | |
Handle< YoYOptionletVolatilitySurface > | capletVol_ |
data | |
Handle< YieldTermStructure > | nominalTermStructure_ |
const NonStandardYoYInflationCoupon * | coupon_ |
Real | gearing_ |
Spread | spread_ |
Real | discount_ |
Bachelier-formula pricer for capped/floored yoy inflation coupons.
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overrideprotectedvirtual |
Derived classes usually only need to implement this.
The name of the method is misleading. This actually returns the rate of the optionlet (so not discounted and not accrued).
Reimplemented from NonStandardYoYInflationCouponPricer.