C# 클래스 QLNet.YoYInflationCouponPricer

base pricer for capped/floored YoY inflation coupons

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

상속: InflationCouponPricer

파일 보기 프로젝트 열기: ammachado/QLNet 1 사용 예제들

공개 메소드들

메소드	설명
YoYInflationCouponPricer ( Handle capletVol ) : System
capletPrice ( double effectiveCap ) : double
capletRate ( double effectiveCap ) : double
capletVolatility ( ) : Handle
floorletPrice ( double effectiveFloor ) : double
floorletRate ( double effectiveFloor ) : double
initialize ( QLNet.InflationCoupon coupon ) : void
setCapletVolatility ( Handle capletVol ) : void
swapletPrice ( ) : double
swapletRate ( ) : double

보호된 메소드들

메소드	설명
adjustedFixing ( ) : double
adjustedFixing ( double fixing ) : double
optionletPrice ( Option optionType, double effStrike ) : double
optionletPriceImp ( Option t, double strike, double forward, double stdDev ) : double

메소드 상세

YoYInflationCouponPricer() 공개 메소드

public YoYInflationCouponPricer ( Handle capletVol ) : System
capletVol	Handle
리턴	System

adjustedFixing() 보호된 메소드

protected adjustedFixing ( ) : double
리턴	double

adjustedFixing() 보호된 메소드

protected adjustedFixing ( double fixing ) : double
fixing	double
리턴	double

capletPrice() 공개 메소드

public capletPrice ( double effectiveCap ) : double
effectiveCap	double
리턴	double

capletRate() 공개 메소드

public capletRate ( double effectiveCap ) : double
effectiveCap	double
리턴	double

capletVolatility() 공개 메소드

public capletVolatility ( ) : Handle
리턴	Handle

floorletPrice() 공개 메소드

public floorletPrice ( double effectiveFloor ) : double
effectiveFloor	double
리턴	double

floorletRate() 공개 메소드

public floorletRate ( double effectiveFloor ) : double
effectiveFloor	double
리턴	double

initialize() 공개 메소드

public initialize ( QLNet.InflationCoupon coupon ) : void
coupon	QLNet.InflationCoupon
리턴	void

optionletPrice() 보호된 메소드

protected optionletPrice ( Option optionType, double effStrike ) : double
optionType	Option
effStrike	double
리턴	double

optionletPriceImp() 보호된 메소드

protected optionletPriceImp ( Option t, double strike, double forward, double stdDev ) : double
t	Option
strike	double
forward	double
stdDev	double
리턴	double

setCapletVolatility() 공개 메소드

public setCapletVolatility ( Handle capletVol ) : void
capletVol	Handle
리턴	void

swapletPrice() 공개 메소드

public swapletPrice ( ) : double
리턴	double

swapletRate() 공개 메소드

public swapletRate ( ) : double
리턴	double