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QuantLib_FloatingRateCouponPricer
Langue: en
Version: 380181 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FloatingRateCouponPricer -generic pricer for floating-rate coupons
SYNOPSIS
#include <ql/cashflows/couponpricer.hpp>
Inherits QuantLib::Observer, and QuantLib::Observable.
Inherited by CmsCouponPricer, IborCouponPricer, RangeAccrualPricer, and SubPeriodsPricer.
Public Member Functions
required interface
virtual Real swapletPrice () const =0
virtual Rate swapletRate () const =0
virtual Real capletPrice (Rate effectiveCap) const =0
virtual Rate capletRate (Rate effectiveCap) const =0
virtual Real floorletPrice (Rate effectiveFloor) const =0
virtual Rate floorletRate (Rate effectiveFloor) const =0
virtual void initialize (const FloatingRateCoupon &coupon)=0
Observer interface
void update ()
Detailed Description
generic pricer for floating-rate coupons
Author
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Contenus ©2006-2024 Benjamin Poulain
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