CPICouponPricer Class Reference

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:

List of all members.

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 &)

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< CPIVolatilitySurfacecapletVol_
 data
const CPICouponcoupon_
Real gearing_
Spread spread_
Real discount_
Real spreadLegValue_

Detailed Description

base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO

Note:
this pricer can already do swaplets but to get volatility-dependent coupons you need to implement the descendents.

Member Function Documentation

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

usually only need implement this (of course they may need to re-implement initialize too ...)