Reference manual - version qle_version
pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon. More...
#include <ql/cashflow.hpp>#include <ql/cashflows/inflationcouponpricer.hpp>#include <ql/option.hpp>#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>#include <qle/cashflows/nonstandardyoyinflationcoupon.hpp>Classes | |
| class | NonStandardYoYInflationCouponPricer |
| base pricer for capped/floored YoY inflation coupons More... | |
| class | NonStandardBlackYoYInflationCouponPricer |
| Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | NonStandardUnitDisplacedBlackYoYInflationCouponPricer |
| Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | NonStandardBachelierYoYInflationCouponPricer |
| Bachelier-formula pricer for capped/floored yoy inflation coupons. More... | |
pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon.