couponpricer (3) - Linux Manuals

couponpricer: Coupon pricers.

NAME

ql/cashflows/couponpricer.hpp - Coupon pricers.

SYNOPSIS

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/cashflow.hpp>
#include <ql/option.hpp>

Classes

class FloatingRateCouponPricer
generic pricer for floating-rate coupons
class IborCouponPricer
base pricer for capped/floored Ibor coupons
class BlackIborCouponPricer
Black-formula pricer for capped/floored Ibor coupons.
class CmsCouponPricer
base pricer for vanilla CMS coupons

Functions

void setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &)

void setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &)

Detailed Description

Coupon pricers.

Author

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