#include <ql/cashflows/couponpricer.hpp>
Inheritance diagram for BlackIborCouponPricer:Public Types | |
| enum | TimingAdjustment { Black76, BivariateLognormal } |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, const Handle< Quote > correlation=Handle< Quote >(boost::shared_ptr< Quote >(new SimpleQuote(1.0)))) | |
| virtual void | initialize (const FloatingRateCoupon &coupon) |
| Real | swapletPrice () const |
| Rate | swapletRate () const |
| Real | capletPrice (Rate effectiveCap) const |
| Rate | capletRate (Rate effectiveCap) const |
| Real | floorletPrice (Rate effectiveFloor) const |
| Rate | floorletRate (Rate effectiveFloor) const |
Public Member Functions inherited from IborCouponPricer | |
| IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) | |
| Handle< OptionletVolatilityStructure > | capletVolatility () const |
| void | setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) |
Public Member Functions inherited from FloatingRateCouponPricer | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| Real | optionletPrice (Option::Type optionType, Real effStrike) const |
| virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
| Real | gearing_ |
| Spread | spread_ |
| Time | accrualPeriod_ |
| boost::shared_ptr< IborIndex > | index_ |
| Real | discount_ |
| Real | spreadLegValue_ |
| const FloatingRateCoupon * | coupon_ |
Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550 BivariateLognormal http://ssrn.com/abstract=2170721