C# Class 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.

Inheritance: InflationCouponPricer

显示文件 Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
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

Protected Methods

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

Method Details

YoYInflationCouponPricer() public method

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

adjustedFixing() protected method

protected adjustedFixing ( ) : double
return	double

adjustedFixing() protected method

protected adjustedFixing ( double fixing ) : double
fixing	double
return	double

capletPrice() public method

public capletPrice ( double effectiveCap ) : double
effectiveCap	double
return	double

capletRate() public method

public capletRate ( double effectiveCap ) : double
effectiveCap	double
return	double

capletVolatility() public method

public capletVolatility ( ) : Handle
return	Handle

floorletPrice() public method

public floorletPrice ( double effectiveFloor ) : double
effectiveFloor	double
return	double

floorletRate() public method

public floorletRate ( double effectiveFloor ) : double
effectiveFloor	double
return	double

initialize() public method

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

optionletPrice() protected method

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

optionletPriceImp() protected method

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

setCapletVolatility() public method

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

swapletPrice() public method

public swapletPrice ( ) : double
return	double

swapletRate() public method

public swapletRate ( ) : double
return	double