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couponpricer.hpp
Langue: en
Version: 379523 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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