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

#include <qle/cashflows/nonstandardinflationcouponpricer.hpp>

Inheritance diagram for NonStandardBlackYoYInflationCouponPricer:

Public Member Functions
	NonStandardBlackYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)

	NonStandardBlackYoYInflationCouponPricer (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_

Detailed Description

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

Member Function Documentation

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).