BlackIborCouponPricer Class Reference

#include <ql/cashflows/couponpricer.hpp>

Inheritance diagram for BlackIborCouponPricer:

Public Types
enum	TimingAdjustment { Black76 , BivariateLognormal }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, Handle< Quote > correlation=Handle< Quote >(ext::shared_ptr< Quote >(new SimpleQuote(1.0))), const ext::optional< bool > useIndexedCoupon=ext::nullopt)
void	initialize (const FloatingRateCoupon &coupon) override
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
Public Member Functions inherited from IborCouponPricer
	IborCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), ext::optional< bool > useIndexedCoupon=ext::nullopt)
bool	useIndexedCoupon () const
Handle< OptionletVolatilityStructure >	capletVolatility () const
void	setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
void	initialize (const FloatingRateCoupon &coupon) override
void	initializeCachedData (const IborCoupon &coupon) const
Public Member Functions inherited from FloatingRateCouponPricer
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Protected Member Functions
Real	optionletPrice (Option::Type optionType, Real effStrike) const
Real	optionletRate (Option::Type optionType, Real effStrike) const
virtual Rate	adjustedFixing (Rate fixing=Null< Rate >()) const

Protected Attributes
Real	discount_
Protected Attributes inherited from IborCouponPricer
const IborCoupon *	coupon_
ext::shared_ptr< IborIndex >	index_
Date	fixingDate_
Real	gearing_
Spread	spread_
Time	accrualPeriod_
Date	fixingValueDate_
Date	fixingEndDate_
Date	fixingMaturityDate_
Time	spanningTime_
Time	spanningTimeIndexMaturity_
Handle< OptionletVolatilityStructure >	capletVol_
bool	useIndexedCoupon_

Detailed Description

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

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon & coupon )

overridevirtual

Implements FloatingRateCouponPricer.

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

capletPrice()

Real capletPrice ( Rate effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

capletRate()

Rate capletRate ( Rate effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

floorletPrice()

Real floorletPrice ( Rate effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.

floorletRate()

Rate floorletRate ( Rate effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.