base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...
#include <ql/cashflows/cpicouponpricer.hpp>
Inheritance diagram for CPICouponPricer:Public Member Functions | |
| CPICouponPricer (const Handle< CPIVolatilitySurface > &capletVol=Handle< CPIVolatilitySurface >()) | |
| virtual Handle< CPIVolatilitySurface > | capletVolatility () const |
| virtual void | setCapletVolatility (const Handle< CPIVolatilitySurface > &capletVol) |
InflationCouponPricer interface | |
| 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 &) | |
| Observer & | operator= (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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| virtual Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| can replace this if really required | |
| virtual Real | optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const |
| virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
| Handle< CPIVolatilitySurface > | capletVol_ |
| data | |
| const CPICoupon * | coupon_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | discount_ |
| Real | spreadLegValue_ |
Protected Attributes inherited from InflationCouponPricer | |
| Handle< YieldTermStructure > | rateCurve_ |
| Date | paymentDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO