C# Class QLNet.InflationCouponPricer

Base inflation-coupon pricer. The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an InterestRateIndex and we need an inflation index (these are lagged). The basic inflation-specific thing that the pricer has to do is deal with different lags in the index and the option e.g. the option could look 3 months back and the index 2. We add the requirement that pricers do inverseCap/Floor-lets. These are cap/floor-lets as usually defined, i.e. pay out if underlying is above/below a strike. The non-inverse (usual) versions are from a coupon point of view (a capped coupon has a maximum at the strike). We add the inverse prices so that conventional caps can be priced simply.
Inheritance: QLNet.Patterns.DefaultObservable, IObserver
Afficher le fichier Open project: ammachado/QLNet Class Usage Examples

Méthodes publiques

Méthode Description
capletPrice ( double effectiveCap ) : double
capletRate ( double effectiveCap ) : double
floorletPrice ( double effectiveFloor ) : double
floorletRate ( double effectiveFloor ) : double
initialize ( QLNet.InflationCoupon i ) : void
swapletPrice ( ) : double
swapletRate ( ) : double
update ( ) : void

Method Details

capletPrice() public méthode

public capletPrice ( double effectiveCap ) : double
effectiveCap double
Résultat double

capletRate() public méthode

public capletRate ( double effectiveCap ) : double
effectiveCap double
Résultat double

floorletPrice() public méthode

public floorletPrice ( double effectiveFloor ) : double
effectiveFloor double
Résultat double

floorletRate() public méthode

public floorletRate ( double effectiveFloor ) : double
effectiveFloor double
Résultat double

initialize() public méthode

public initialize ( QLNet.InflationCoupon i ) : void
i QLNet.InflationCoupon
Résultat void

swapletPrice() public méthode

public swapletPrice ( ) : double
Résultat double

swapletRate() public méthode

public swapletRate ( ) : double
Résultat double

update() public méthode

public update ( ) : void
Résultat void