1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: YoYInflationCouponPricer Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html">YoYInflationCouponPricer</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">YoYInflationCouponPricer Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<p>base pricer for capped/floored YoY inflation coupons
<a href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html#details">More...</a></p>
<p><code>#include <ql/cashflows/inflationcouponpricer.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for YoYInflationCouponPricer:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_yo_y_inflation_coupon_pricer__inherit__graph.png" border="0" usemap="#a_yo_y_inflation_coupon_pricer_inherit__map" alt="Inheritance graph"/></div>
<map name="_yo_y_inflation_coupon_pricer_inherit__map" id="a_yo_y_inflation_coupon_pricer_inherit__map">
<area shape="rect" title="base pricer for capped/floored YoY inflation coupons" alt="" coords="336,71,507,98"/>
<area shape="rect" href="class_quant_lib_1_1_bachelier_yo_y_inflation_coupon_pricer.html" title="Bachelier-formula pricer for capped/floored yoy inflation coupons." alt="" coords="563,5,753,47"/>
<area shape="rect" href="class_quant_lib_1_1_black_yo_y_inflation_coupon_pricer.html" title="Black-formula pricer for capped/floored yoy inflation coupons." alt="" coords="556,71,760,98"/>
<area shape="rect" href="class_quant_lib_1_1_unit_displaced_black_yo_y_inflation_coupon_pricer.html" title="Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons." alt="" coords="555,123,761,164"/>
<area shape="rect" href="class_quant_lib_1_1_inflation_coupon_pricer.html" title="Base inflation-coupon pricer." alt="" coords="141,71,288,98"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="12,46,87,73"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="5,97,93,123"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ac4ece02ac46c7405afcb926200b596ca"><td class="memItemLeft" align="right" valign="top">QL_DEPRECATED </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html#ac4ece02ac46c7405afcb926200b596ca">YoYInflationCouponPricer</a> ()</td></tr>
<tr class="separator:ac4ece02ac46c7405afcb926200b596ca"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a97cc6cbc1d0ffe20e7fd3d129e4c8380"><td class="memItemLeft" align="right" valign="top"><a id="a97cc6cbc1d0ffe20e7fd3d129e4c8380"></a>
 </td><td class="memItemRight" valign="bottom"><b>YoYInflationCouponPricer</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &nominalTermStructure)</td></tr>
<tr class="separator:a97cc6cbc1d0ffe20e7fd3d129e4c8380"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3f44b14fe12b5da3e7b27aeac4547ad6"><td class="memItemLeft" align="right" valign="top"><a id="a3f44b14fe12b5da3e7b27aeac4547ad6"></a>
 </td><td class="memItemRight" valign="bottom"><b>YoYInflationCouponPricer</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html">YoYOptionletVolatilitySurface</a> > &capletVol, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &nominalTermStructure)</td></tr>
<tr class="separator:a3f44b14fe12b5da3e7b27aeac4547ad6"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1acfd4a75258a0f8fe950aff41ef2f66"><td class="memItemLeft" align="right" valign="top"><a id="a1acfd4a75258a0f8fe950aff41ef2f66"></a>
virtual <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html">YoYOptionletVolatilitySurface</a> > </td><td class="memItemRight" valign="bottom"><b>capletVolatility</b> () const</td></tr>
<tr class="separator:a1acfd4a75258a0f8fe950aff41ef2f66"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1191f0ef9d8bd8ce9022d9c27ada2fec"><td class="memItemLeft" align="right" valign="top"><a id="a1191f0ef9d8bd8ce9022d9c27ada2fec"></a>
virtual <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>nominalTermStructure</b> () const</td></tr>
<tr class="separator:a1191f0ef9d8bd8ce9022d9c27ada2fec"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a72e496727fc864420dbb21f076968266"><td class="memItemLeft" align="right" valign="top"><a id="a72e496727fc864420dbb21f076968266"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>setCapletVolatility</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html">YoYOptionletVolatilitySurface</a> > &capletVol)</td></tr>
<tr class="separator:a72e496727fc864420dbb21f076968266"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_inflation_coupon_pricer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_inflation_coupon_pricer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_inflation_coupon_pricer.html">InflationCouponPricer</a></td></tr>
<tr class="memitem:acd36d7881ea8503d5c5824e7a5ad6c7e inherit pub_methods_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_inflation_coupon_pricer.html#acd36d7881ea8503d5c5824e7a5ad6c7e">update</a> ()</td></tr>
<tr class="separator:acd36d7881ea8503d5c5824e7a5ad6c7e inherit pub_methods_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
<tr class="separator:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
<tr class="separator:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
InflationCouponPricer interface</h2></td></tr>
<tr class="memitem:af556f3984ba9d53b98250ff674b443c9"><td class="memItemLeft" align="right" valign="top"><a id="af556f3984ba9d53b98250ff674b443c9"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yo_y_optionlet_volatility_surface.html">YoYOptionletVolatilitySurface</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html#af556f3984ba9d53b98250ff674b443c9">capletVol_</a></td></tr>
<tr class="memdesc:af556f3984ba9d53b98250ff674b443c9"><td class="mdescLeft"> </td><td class="mdescRight">data <br /></td></tr>
<tr class="separator:af556f3984ba9d53b98250ff674b443c9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5ef7cd33f709692f345dd04e49955732"><td class="memItemLeft" align="right" valign="top"><a id="a5ef7cd33f709692f345dd04e49955732"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>nominalTermStructure_</b></td></tr>
<tr class="separator:a5ef7cd33f709692f345dd04e49955732"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7b84a775af1aa499a785f01a762efc62"><td class="memItemLeft" align="right" valign="top"><a id="a7b84a775af1aa499a785f01a762efc62"></a>
const <a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon.html">YoYInflationCoupon</a> * </td><td class="memItemRight" valign="bottom"><b>coupon_</b></td></tr>
<tr class="separator:a7b84a775af1aa499a785f01a762efc62"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac49985ed0b7d726bb87fe57577cd6d3d"><td class="memItemLeft" align="right" valign="top"><a id="ac49985ed0b7d726bb87fe57577cd6d3d"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>gearing_</b></td></tr>
<tr class="separator:ac49985ed0b7d726bb87fe57577cd6d3d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa6db15cb8f4db71dbdd282eb1a4a9bcd"><td class="memItemLeft" align="right" valign="top"><a id="aa6db15cb8f4db71dbdd282eb1a4a9bcd"></a>
<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>spread_</b></td></tr>
<tr class="separator:aa6db15cb8f4db71dbdd282eb1a4a9bcd"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aea69a040116fac17d85f412ad3bade51"><td class="memItemLeft" align="right" valign="top"><a id="aea69a040116fac17d85f412ad3bade51"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discount_</b></td></tr>
<tr class="separator:aea69a040116fac17d85f412ad3bade51"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3e15ee5ff6082a7ac2cfcc3119b2c23e"><td class="memItemLeft" align="right" valign="top"><a id="a3e15ee5ff6082a7ac2cfcc3119b2c23e"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapletPrice</b> () const</td></tr>
<tr class="separator:a3e15ee5ff6082a7ac2cfcc3119b2c23e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a89e48b77114f47684ad07b614162d3cc"><td class="memItemLeft" align="right" valign="top"><a id="a89e48b77114f47684ad07b614162d3cc"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>swapletRate</b> () const</td></tr>
<tr class="separator:a89e48b77114f47684ad07b614162d3cc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa64d7f2bde2b82b0a87913153368d036"><td class="memItemLeft" align="right" valign="top"><a id="aa64d7f2bde2b82b0a87913153368d036"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>capletPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const</td></tr>
<tr class="separator:aa64d7f2bde2b82b0a87913153368d036"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aef614a0bd4a4b186cfcdd3d3945d02ba"><td class="memItemLeft" align="right" valign="top"><a id="aef614a0bd4a4b186cfcdd3d3945d02ba"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>capletRate</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const</td></tr>
<tr class="separator:aef614a0bd4a4b186cfcdd3d3945d02ba"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2800c4b972888cda0f3e0812ffa9a7be"><td class="memItemLeft" align="right" valign="top"><a id="a2800c4b972888cda0f3e0812ffa9a7be"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floorletPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const</td></tr>
<tr class="separator:a2800c4b972888cda0f3e0812ffa9a7be"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a45436da332c742eefe6d07eced153317"><td class="memItemLeft" align="right" valign="top"><a id="a45436da332c742eefe6d07eced153317"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>floorletRate</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const</td></tr>
<tr class="separator:a45436da332c742eefe6d07eced153317"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a45e3444b97c506c9c7e4134f52c95bc3"><td class="memItemLeft" align="right" valign="top"><a id="a45e3444b97c506c9c7e4134f52c95bc3"></a>
virtual void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (const <a class="el" href="class_quant_lib_1_1_inflation_coupon.html">InflationCoupon</a> &)</td></tr>
<tr class="separator:a45e3444b97c506c9c7e4134f52c95bc3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7ecd07d55af22230a20eded16f57f6ae"><td class="memItemLeft" align="right" valign="top"><a id="a7ecd07d55af22230a20eded16f57f6ae"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>optionletPrice</b> (Option::Type optionType, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> effStrike) const</td></tr>
<tr class="separator:a7ecd07d55af22230a20eded16f57f6ae"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a403ef0d2241625ef995d1761920990b4"><td class="memItemLeft" align="right" valign="top"><a id="a403ef0d2241625ef995d1761920990b4"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>optionletRate</b> (Option::Type optionType, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> effStrike) const</td></tr>
<tr class="separator:a403ef0d2241625ef995d1761920990b4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa55e9453b999ff26cb7d845104bca3a2"><td class="memItemLeft" align="right" valign="top">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html#aa55e9453b999ff26cb7d845104bca3a2">optionletPriceImp</a> (Option::Type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> forward, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev) const</td></tr>
<tr class="separator:aa55e9453b999ff26cb7d845104bca3a2"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9ec11086dc27bea7911adec477563af4"><td class="memItemLeft" align="right" valign="top"><a id="a9ec11086dc27bea7911adec477563af4"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>adjustedFixing</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> fixing=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >()) const</td></tr>
<tr class="separator:a9ec11086dc27bea7911adec477563af4"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_inflation_coupon_pricer.html">InflationCouponPricer</a></td></tr>
<tr class="memitem:a8ca075a069cbdaef300ed3c33643cbc7 inherit pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a8ca075a069cbdaef300ed3c33643cbc7"></a>
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>rateCurve_</b></td></tr>
<tr class="separator:a8ca075a069cbdaef300ed3c33643cbc7 inherit pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a292ad9c54719780e61282ddeeac02410 inherit pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a292ad9c54719780e61282ddeeac02410"></a>
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>paymentDate_</b></td></tr>
<tr class="separator:a292ad9c54719780e61282ddeeac02410 inherit pro_attribs_class_quant_lib_1_1_inflation_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>base pricer for capped/floored YoY inflation coupons </p>
<dl class="section note"><dt>Note</dt><dd>this pricer can already do swaplets but to get volatility-dependent coupons you need the descendents. </dd></dl>
</div><h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="ac4ece02ac46c7405afcb926200b596ca"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ac4ece02ac46c7405afcb926200b596ca">◆ </a></span>YoYInflationCouponPricer()</h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">QL_DEPRECATED <a class="el" href="class_quant_lib_1_1_yo_y_inflation_coupon_pricer.html">YoYInflationCouponPricer</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td></td>
</tr>
</table>
</div><div class="memdoc">
<dl class="deprecated"><dt><b><a class="el" href="deprecated.html#_deprecated000002">Deprecated:</a></b></dt><dd>Use one of the other constructors. Deprecated in version 1.19. </dd></dl>
</div>
</div>
<h2 class="groupheader">Member Function Documentation</h2>
<a id="aa55e9453b999ff26cb7d845104bca3a2"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aa55e9453b999ff26cb7d845104bca3a2">◆ </a></span>optionletPriceImp()</h2>
<div class="memitem">
<div class="memproto">
<table class="mlabels">
<tr>
<td class="mlabels-left">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> optionletPriceImp </td>
<td>(</td>
<td class="paramtype">Option::Type </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>strike</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>forward</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>stdDev</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
</table>
</td>
<td class="mlabels-right">
<span class="mlabels"><span class="mlabel">protected</span><span class="mlabel">virtual</span></span> </td>
</tr>
</table>
</div><div class="memdoc">
<p>Derived classes usually only need to implement this.</p>
<p>The name of the method is misleading. This actually returns the rate of the optionlet (so not discounted and not accrued). </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_bachelier_yo_y_inflation_coupon_pricer.html#ab3d0f7a95dc89a26badd2298f1ebc77c">BachelierYoYInflationCouponPricer</a>, <a class="el" href="class_quant_lib_1_1_unit_displaced_black_yo_y_inflation_coupon_pricer.html#ab3d0f7a95dc89a26badd2298f1ebc77c">UnitDisplacedBlackYoYInflationCouponPricer</a>, and <a class="el" href="class_quant_lib_1_1_black_yo_y_inflation_coupon_pricer.html#ab3d0f7a95dc89a26badd2298f1ebc77c">BlackYoYInflationCouponPricer</a>.</p>
</div>
</div>
</div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|