base pricer for capped/floored YoY inflation coupons More...

#include <qle/cashflows/nonstandardinflationcouponpricer.hpp>

Inheritance diagram for NonStandardYoYInflationCouponPricer:

Public Member Functions
	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)

InflationCouponPricer interface
Handle< YoYOptionletVolatilitySurface >	capletVol_
	data

Handle< YieldTermStructure >	nominalTermStructure_

const NonStandardYoYInflationCoupon *	coupon_

Real	gearing_

Spread	spread_

Real	discount_

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

virtual Real	optionletPrice (Option::Type optionType, Real effStrike) const

virtual Real	optionletRate (Option::Type optionType, Real effStrike) const

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

virtual Rate	adjustedFixing (Rate fixing=Null< Rate >()) const

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

protectedvirtual

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).