QuantLib: CompoundingOvernightIndexedCouponPricer Class Reference

Base pricer for compounded overnight-indexed floating coupons. More...

#include <ql/cashflows/overnightindexedcouponpricer.hpp>

Inheritance diagram for CompoundingOvernightIndexedCouponPricer:

Public Member Functions
	CompoundingOvernightIndexedCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), bool effectiveVolatilityInput=false)
Public Member Functions inherited from OvernightIndexedCouponPricer
	OvernightIndexedCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), bool effectiveVolatilityInput=false)
void	initialize (const FloatingRateCoupon &coupon) override
void	setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
Handle< OptionletVolatilityStructure >	capletVolatility () const
	Returns the handle to the optionlet volatility structure used for caplets/floorlets.
void	setEffectiveVolatilityInput (const bool effectiveVolatilityInput)
bool	effectiveVolatilityInput () const
	Returns true if the volatility input is interpreted as effective volatility.
virtual Real	effectiveCapletVolatility () const
	Returns the effective caplet volatility used in the last capletRate() calculation.
virtual Real	effectiveFloorletVolatility () const
	Returns the effective floorlet volatility used in the last floorletRate() calculation.
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 ()

FloatingRateCoupon interface
Real	swapletRate_
Real	effectiveSpread_
Real	effectiveIndexFixing_
Rate	swapletRate () const override
Real	swapletPrice () const override
Real	capletPrice (Rate) const override
Rate	capletRate (Rate) const override
Real	floorletPrice (Rate) const override
Rate	floorletRate (Rate) const override
Rate	capletRate (Rate effectiveCap, bool dailyCapFloor) const override
Rate	floorletRate (Rate effectiveCap, bool dailyCapFloor) const override
Rate	averageRate (const Date &date) const
Rate	effectiveSpread () const
Rate	effectiveIndexFixing () const
std::tuple< Rate, Spread, Rate >	compute (const Date &date) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from OvernightIndexedCouponPricer
const OvernightIndexedCoupon *	coupon_ = nullptr
Handle< OptionletVolatilityStructure >	capletVol_
bool	effectiveVolatilityInput_ = false
Real	effectiveCapletVolatility_ = Null<Real>()
Real	effectiveFloorletVolatility_ = Null<Real>()