IborCouponPricer Class Reference

base pricer for capped/floored Ibor coupons More...

#include <ql/cashflows/couponpricer.hpp>

Inheritance diagram for IborCouponPricer:

Public Member Functions
	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
virtual Real	swapletPrice () const =0
virtual Rate	swapletRate () const =0
virtual Real	capletPrice (Rate effectiveCap) const =0
virtual Rate	capletRate (Rate effectiveCap) const =0
virtual Real	floorletPrice (Rate effectiveFloor) const =0
virtual Rate	floorletRate (Rate effectiveFloor) const =0
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 Attributes
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_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

base pricer for capped/floored Ibor coupons

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon & coupon )

overridevirtual

Implements FloatingRateCouponPricer.