CPICouponPricer | quantlib.js

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

InflationCouponPricer
- CPICouponPricer

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new CPICouponPricer(capletVol?: Handle<CPIVolatilitySurface>): CPICouponPricer

- Defined in ql/cashflows/cpicouponpricer.ts:22
Parameters
- Default value capletVol: Handle<CPIVolatilitySurface> = new Handle()
Returns CPICouponPricer

Properties

Protected _capletVol

_capletVol: Handle<CPIVolatilitySurface>

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

_rateCurve: Handle<YieldTermStructure>

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

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

Protected adjustedFixing

adjustedFixing(fixing?: Rate): Rate

- Defined in ql/cashflows/cpicouponpricer.ts:141
Parameters
- Default value fixing: Rate = QL_NULL_REAL
Returns Rate

capletPrice

capletPrice(effectiveCap: Rate): Real

Overrides InflationCouponPricer.capletPrice
- Defined in ql/cashflows/cpicouponpricer.ts:61
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Overrides InflationCouponPricer.capletRate
- Defined in ql/cashflows/cpicouponpricer.ts:67
Parameters
- effectiveCap: Rate
Returns Rate

capletVolatility

capletVolatility(): Handle<CPIVolatilitySurface>

- Defined in ql/cashflows/cpicouponpricer.ts:32
Returns Handle<CPIVolatilitySurface>

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Overrides InflationCouponPricer.floorletPrice
- Defined in ql/cashflows/cpicouponpricer.ts:72
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Overrides InflationCouponPricer.floorletRate
- Defined in ql/cashflows/cpicouponpricer.ts:78
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: InflationCoupon): void

Overrides InflationCouponPricer.initialize
- Defined in ql/cashflows/cpicouponpricer.ts:83
Parameters
- coupon: InflationCoupon
Returns void

Protected optionletPrice

optionletPrice(optionType: Type, effStrike: Real): Real

- Defined in ql/cashflows/cpicouponpricer.ts:107
Parameters
- optionType: Type
- effStrike: Real
Returns Real

Protected optionletPriceImp

optionletPriceImp(optionType: Type, strike: Real, forward: Real, stdDev: Real): Real

- Defined in ql/cashflows/cpicouponpricer.ts:135
Parameters
- optionType: Type
- strike: Real
- forward: Real
- stdDev: Real
Returns Real

setCapletVolatility

setCapletVolatility(capletVol: Handle<CPIVolatilitySurface>): void

- Defined in ql/cashflows/cpicouponpricer.ts:36
Parameters
- capletVol: Handle<CPIVolatilitySurface>
Returns void

swapletPrice

swapletPrice(): Real

Overrides InflationCouponPricer.swapletPrice
- Defined in ql/cashflows/cpicouponpricer.ts:44
Returns Real

swapletRate

swapletRate(): Rate

Overrides InflationCouponPricer.swapletRate
- Defined in ql/cashflows/cpicouponpricer.ts:51
Returns Rate

update

update(): void

Inherited from InflationCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/inflationcouponpricer.ts:64
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value capletVol: Handle<CPIVolatilitySurface> = new Handle()

Returns CPICouponPricer

Properties

Protected _capletVol

Protected _coupon

Protected _discount

Protected _gearing

_isDisposed

_observables

_observers

Protected _paymentDate

Protected _rateCurve

Protected _spread

Protected _spreadLegValue

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

Protected adjustedFixing

Parameters

Default value fixing: Rate = QL_NULL_REAL

Returns Rate

capletPrice

Parameters

effectiveCap: Rate

Returns Real

capletRate

Parameters

effectiveCap: Rate

Returns Rate

capletVolatility

Returns Handle<CPIVolatilitySurface>

deepUpdate

Returns void

floorletPrice

Parameters

effectiveFloor: Rate

Returns Real

floorletRate