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base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a

todo

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

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _capletVol

Protected _coupon

_coupon: CPICoupon

Protected _discount

_discount: Real

Protected _gearing

_gearing: Real

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _paymentDate

_paymentDate: Date

Protected _rateCurve

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

Protected adjustedFixing

  • Parameters

    • Default value fixing: Rate = QL_NULL_REAL

    Returns Rate

capletPrice

capletRate

capletVolatility

deepUpdate

  • deepUpdate(): void

floorletPrice

  • floorletPrice(effectiveFloor: Rate): Real

floorletRate

  • floorletRate(effectiveFloor: Rate): Rate

initialize

Protected optionletPrice

  • Parameters

    Returns Real

Protected optionletPriceImp

  • Parameters

    Returns Real

setCapletVolatility

swapletPrice

  • swapletPrice(): Real

swapletRate

  • swapletRate(): Rate

update

  • update(): void