- QuantLib
- CPICouponPricer
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...
#include <ql/cashflows/cpicouponpricer.hpp>
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< CPIVolatilitySurface > | capletVol_ |
data | |
const CPICoupon * | coupon_ |
Real | gearing_ |
Spread | spread_ |
Real | discount_ |
Real | spreadLegValue_ |
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
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 ...)