base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...
#include <ql/cashflows/cpicouponpricer.hpp>
Public Member Functions | |
QL_DEPRECATED | CPICouponPricer () |
CPICouponPricer (const Handle< YieldTermStructure > &nominalTermStructure) | |
CPICouponPricer (const Handle< CPIVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure) | |
virtual Handle< CPIVolatilitySurface > | capletVolatility () const |
virtual Handle< YieldTermStructure > | nominalTermStructure () const |
virtual void | setCapletVolatility (const Handle< CPIVolatilitySurface > &capletVol) |
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virtual void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
InflationCouponPricer interface | |
Handle< CPIVolatilitySurface > | capletVol_ |
data | |
Handle< YieldTermStructure > | nominalTermStructure_ |
const CPICoupon * | coupon_ |
Real | gearing_ |
Spread | spread_ |
Real | discount_ |
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 &) |
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 |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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Handle< YieldTermStructure > | rateCurve_ |
Date | paymentDate_ |
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
QL_DEPRECATED CPICouponPricer | ( | ) |