YoYInflationCapFloor Class Reference
Base class for yoy inflation cap-like instruments. More...
#include <ql/instruments/inflationcapfloor.hpp>

Classes | |
class | arguments |
Arguments for YoY Inflation cap/floor calculation More... | |
class | engine |
base class for cap/floor engines More... | |
Public Types | |
enum | Type { Cap, Floor, Collar } |
Public Member Functions | |
YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates) | |
YoYInflationCapFloor (Type type, const Leg &yoyLeg, const std::vector< Rate > &strikes) | |
virtual Rate | atmRate (const YieldTermStructure &discountCurve) const |
virtual Volatility | impliedVolatility (Real price, const Handle< YoYInflationTermStructure > &yoyCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
implied term volatility | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
Type | type () const |
const std::vector< Rate > & | capRates () const |
const std::vector< Rate > & | floorRates () const |
const Leg & | yoyLeg () const |
Date | startDate () const |
Date | maturityDate () const |
boost::shared_ptr < YoYInflationCoupon > | lastYoYInflationCoupon () const |
boost::shared_ptr < YoYInflationCapFloor > | optionlet (const Size n) const |
Returns the n-th optionlet as a cap/floor with only one cash flow. |
Detailed Description
Base class for yoy inflation cap-like instruments.
Note that the standard YoY inflation cap/floor defined here is different from nominal, because in nominal world standard cap/floors do not have the first optionlet. This is because they set in advance so there is no point. However, yoy inflation generally sets (effectively) in arrears, (actually in arrears vs lag of a few months) thus the first optionlet is relevant. Hence we can do a parity test without a special definition of the YoY cap/floor instrument.
- Tests:
- the relationship between the values of caps, floors and the resulting collars is checked.
- the put-call parity between the values of caps, floors and swaps is checked.
- the correctness of the returned value is tested by checking it against a known good value.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.