#include <ql/cashflows/couponpricer.hpp>
Public Types | |
enum | TimingAdjustment { Black76, BivariateLognormal } |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, const Handle< Quote > correlation=Handle< Quote >(boost::shared_ptr< Quote >(new SimpleQuote(1.0)))) | |
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 |
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IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) | |
Handle< OptionletVolatilityStructure > | capletVolatility () const |
void | setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) |
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void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
Real | optionletPrice (Option::Type optionType, Real effStrike) const |
virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
Real | gearing_ |
Spread | spread_ |
Time | accrualPeriod_ |
boost::shared_ptr< IborIndex > | index_ |
Real | discount_ |
Real | spreadLegValue_ |
const FloatingRateCoupon * | coupon_ |
Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550 BivariateLognormal http://ssrn.com/abstract=2170721 The bivariate lognormal adjustment implementation is still considered experimental