QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
BachelierYoYInflationCouponPricer Class Reference

Bachelier-formula pricer for capped/floored yoy inflation coupons. More...

#include <ql/cashflows/inflationcouponpricer.hpp>

+ Inheritance diagram for BachelierYoYInflationCouponPricer:

Public Member Functions

QL_DEPRECATED BachelierYoYInflationCouponPricer ()
 
 BachelierYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)
 
 BachelierYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure)
 
- Public Member Functions inherited from YoYInflationCouponPricer
QL_DEPRECATED YoYInflationCouponPricer ()
 
 YoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)
 
 YoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure)
 
virtual Handle< YoYOptionletVolatilitySurfacecapletVolatility () const
 
virtual Handle< YieldTermStructurenominalTermStructure () const
 
virtual void setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol)
 
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 &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

Real optionletPriceImp (Option::Type, Real strike, Real forward, Real stdDev) const
 
- Protected Member Functions inherited from YoYInflationCouponPricer
virtual Real optionletPrice (Option::Type optionType, Real effStrike) const
 
virtual Real optionletRate (Option::Type optionType, Real effStrike) const
 
virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from YoYInflationCouponPricer
Handle< YoYOptionletVolatilitySurfacecapletVol_
 data
 
Handle< YieldTermStructurenominalTermStructure_
 
const YoYInflationCouponcoupon_
 
Real gearing_
 
Spread spread_
 
Real discount_
 
- Protected Attributes inherited from InflationCouponPricer
Handle< YieldTermStructurerateCurve_
 
Date paymentDate_
 

Detailed Description

Bachelier-formula pricer for capped/floored yoy inflation coupons.

Constructor & Destructor Documentation

◆ BachelierYoYInflationCouponPricer()

Deprecated:
Use one of the other constructors. Deprecated in version 1.19.

Member Function Documentation

◆ optionletPriceImp()

Real optionletPriceImp ( Option::Type  ,
Real  strike,
Real  forward,
Real  stdDev 
) const
protectedvirtual

Derived classes usually only need to implement this.

The name of the method is misleading. This actually returns the rate of the optionlet (so not discounted and not accrued).

Reimplemented from YoYInflationCouponPricer.