Class BlackYoYInflationCouponPricer

Namespace

NanoQL.Coupons

Assembly

NanoQL.dll

The Black-formula pricer of capped and floored year-on-year inflation coupons.

public sealed class BlackYoYInflationCouponPricer : YoYInflationCouponPricer

Inheritance

object

InflationCouponPricer

YoYInflationCouponPricer

BlackYoYInflationCouponPricer

Inherited Members

YoYInflationCouponPricer.SetCapletVolatility(YoYOptionletVolatilitySurface)

YoYInflationCouponPricer.SwapletPrice(InflationCoupon, EvaluationContext)

YoYInflationCouponPricer.SwapletRate(InflationCoupon, EvaluationContext)

YoYInflationCouponPricer.CapletPrice(InflationCoupon, double, EvaluationContext)

YoYInflationCouponPricer.CapletRate(InflationCoupon, double, EvaluationContext)

YoYInflationCouponPricer.FloorletPrice(InflationCoupon, double, EvaluationContext)

YoYInflationCouponPricer.FloorletRate(InflationCoupon, double, EvaluationContext)

YoYInflationCouponPricer.CapletVolatility

YoYInflationCouponPricer.NominalTermStructure

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

BlackYoYInflationCouponPricer(YieldTermStructure?)

Initializes a new instance of the BlackYoYInflationCouponPricer class.

public BlackYoYInflationCouponPricer(YieldTermStructure? nominalTermStructure = null)

Parameters

nominalTermStructure YieldTermStructure

The nominal curve the prices discount on, or null for none.

BlackYoYInflationCouponPricer(YoYOptionletVolatilitySurface?, YieldTermStructure?)

Initializes a new instance of the BlackYoYInflationCouponPricer class.

public BlackYoYInflationCouponPricer(YoYOptionletVolatilitySurface? capletVol, YieldTermStructure? nominalTermStructure)

Parameters

capletVol YoYOptionletVolatilitySurface

The optionlet volatility, or null for none.

nominalTermStructure YieldTermStructure

The nominal curve the prices discount on, or null for none.

Methods

OptionletPriceImp(OptionType, double, double, double)

An optionlet's rate, not discounted and not accrued, from the strike, the forward and the standard deviation, which a derived pricer computes; QuantLib's misleading name is kept.

protected override double OptionletPriceImp(OptionType optionType, double strike, double forward, double stdDev)

Parameters

optionType OptionType

A call for a caplet, a put for a floorlet.

strike double

The strike.

forward double

The forward.

stdDev double

The standard deviation.

Returns

double

The rate.

Remarks

Black's formula on the strike and the forward, unshifted, as QuantLib's. Where the formula refuses the strike, at or below 0, a caplet is the forward less the strike and a floorlet 0, the formula's limits there, where QuantLib refuses ("strike + displacement (… + 0) must be non-negative"); at 0 itself that is QuantLib's value. On a forward at or below 0 the model has no rate distribution, and the formula's refusal stands.

Exceptions

NanoQLException

Always, here: a volatility-dependent price needs a derived pricer.