base pricer for capped/floored YoY inflation coupons More...

#include <qle/cashflows/nonstandardinflationcouponpricer.hpp>

Inheritance diagram for NonStandardYoYInflationCouponPricer:

Public Member Functions
	NonStandardYoYInflationCouponPricer (const Handle< YieldTermStructure > &nominalTermStructure)
	NonStandardYoYInflationCouponPricer (const Handle< YoYOptionletVolatilitySurface > &capletVol, const Handle< YieldTermStructure > &nominalTermStructure)
virtual Handle< YoYOptionletVolatilitySurface >	capletVolatility () const
virtual Handle< YieldTermStructure >	nominalTermStructure () const
virtual void	setCapletVolatility (const Handle< YoYOptionletVolatilitySurface > &capletVol)

InflationCouponPricer interface
Handle< YoYOptionletVolatilitySurface >	capletVol_
	data
Handle< YieldTermStructure >	nominalTermStructure_
const NonStandardYoYInflationCoupon *	coupon_
Real	gearing_
Spread	spread_
Real	discount_
virtual Real	swapletPrice () const override
virtual Rate	swapletRate () const override
virtual Real	capletPrice (Rate effectiveCap) const override
virtual Rate	capletRate (Rate effectiveCap) const override
virtual Real	floorletPrice (Rate effectiveFloor) const override
virtual Rate	floorletRate (Rate effectiveFloor) const override
virtual void	initialize (const InflationCoupon &) override
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

Detailed Description

base pricer for capped/floored YoY inflation coupons

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

Member Function Documentation

virtual 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).