OvernightIndexedCouponPricer Class Reference

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

#include <ql/cashflows/overnightindexedcouponpricer.hpp>

Inheritance diagram for OvernightIndexedCouponPricer:

Public Member Functions
	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.
virtual Rate	capletRate (Rate effectiveCap, bool dailyCapFloor) const =0
virtual Rate	floorletRate (Rate effectiveCap, bool dailyCapFloor) const =0
Public Member Functions inherited from FloatingRateCouponPricer
virtual Real	swapletPrice () const =0
virtual Rate	swapletRate () const =0
virtual Real	capletPrice (Rate effectiveCap) const =0
virtual Real	floorletPrice (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 OvernightIndexedCoupon *	coupon_ = nullptr
Handle< OptionletVolatilityStructure >	capletVol_
bool	effectiveVolatilityInput_ = false
Real	effectiveCapletVolatility_ = Null<Real>()
Real	effectiveFloorletVolatility_ = Null<Real>()

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

Detailed Description

Base pricer for overnight-indexed floating coupons.

This is the base pricer class for coupons indexed to an overnight rate.
It defines the common pricing interface and provides the foundation for more specialized overnight coupon pricers (e.g., compounded, averaged, capped/floored variants).

Derived classes should implement the specific logic for computing the rate and optional adjustments, depending on the compounding or averaging convention used.

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon & coupon )

overridevirtual

Implements FloatingRateCouponPricer.

effectiveCapletVolatility()

virtual Real effectiveCapletVolatility ( ) const

virtual

Returns the effective caplet volatility used in the last capletRate() calculation.

Note

Only available after capletRate() was called.

effectiveFloorletVolatility()

virtual Real effectiveFloorletVolatility ( ) const

virtual

Returns the effective floorlet volatility used in the last floorletRate() calculation.

Note

Only available after floorletRate() was called.