QuantLib_BlackIborCouponPricer (3) - Linux Manuals

QuantLib_BlackIborCouponPricer: Black-formula pricer for capped/floored Ibor coupons.

NAME

QuantLib::BlackIborCouponPricer - Black-formula pricer for capped/floored Ibor coupons.

SYNOPSIS

#include <ql/cashflows/couponpricer.hpp>

Inherits QuantLib::IborCouponPricer.

Inherited by BlackIborQuantoCouponPricer.

Public Member Functions

BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())

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

Protected Member Functions

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

virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const

Protected Attributes

const IborCoupon * coupon_

Real discount_

Real gearing_

Spread spread_

Real spreadLegValue_

Detailed Description

Black-formula pricer for capped/floored Ibor coupons.

Examples:

Bonds.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.