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QuantLib_BlackIborCouponPricer
Langue: en
Version: 159922 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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
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