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:

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 &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (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< CPIVolatilitySurfacecapletVol_
 data
 
const CPICouponcoupon_
 
Real gearing_
 
Spread spread_
 
Real discount_
 
Real spreadLegValue_
 
- Protected Attributes inherited from InflationCouponPricer
Handle< YieldTermStructurerateCurve_
 
Date paymentDate_
 

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
protectedvirtual

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