FloatingRateCouponPricer Class Reference

generic pricer for floating-rate coupons More...

#include <couponpricer.hpp>

Inheritance diagram for FloatingRateCouponPricer:

Collaboration diagram for FloatingRateCouponPricer:

Public Member Functions
	~FloatingRateCouponPricer () override=default
required interface
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
virtual void	initialize (const FloatingRateCoupon &coupon)=0
Observer interface
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

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

Detailed Description

generic pricer for floating-rate coupons

Definition at line 45 of file couponpricer.hpp.

Constructor & Destructor Documentation

~FloatingRateCouponPricer()

~FloatingRateCouponPricer ( )

overridedefault

Member Function Documentation

swapletPrice()

virtual Real swapletPrice ( ) const

pure virtual

Implemented in NumericHaganPricer, AnalyticHaganPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, CompoundingOvernightIndexedCouponPricer, ArithmeticAveragedOvernightIndexedCouponPricer, RangeAccrualPricerByBgm, LognormalCmsSpreadPricer, and HaganPricer.

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swapletRate()

virtual Rate swapletRate ( ) const

pure virtual

Implemented in HaganPricer, BlackIborCouponPricer, LinearTsrPricer, AveragingMultipleResetsPricer, CompoundingMultipleResetsPricer, CompoundingOvernightIndexedCouponPricer, ArithmeticAveragedOvernightIndexedCouponPricer, RangeAccrualPricer, and LognormalCmsSpreadPricer.

capletPrice()

virtual Real capletPrice ( Rate  effectiveCap ) const

pure virtual

Implemented in HaganPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, RangeAccrualPricer, LognormalCmsSpreadPricer, CompoundingOvernightIndexedCouponPricer, and ArithmeticAveragedOvernightIndexedCouponPricer.

capletRate()

virtual Rate capletRate ( Rate  effectiveCap ) const

pure virtual

Implemented in HaganPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, RangeAccrualPricer, LognormalCmsSpreadPricer, CompoundingOvernightIndexedCouponPricer, and ArithmeticAveragedOvernightIndexedCouponPricer.

floorletPrice()

virtual Real floorletPrice ( Rate  effectiveFloor ) const

pure virtual

Implemented in HaganPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, RangeAccrualPricer, LognormalCmsSpreadPricer, CompoundingOvernightIndexedCouponPricer, and ArithmeticAveragedOvernightIndexedCouponPricer.

floorletRate()

virtual Rate floorletRate ( Rate  effectiveFloor ) const

pure virtual

Implemented in HaganPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, RangeAccrualPricer, LognormalCmsSpreadPricer, CompoundingOvernightIndexedCouponPricer, and ArithmeticAveragedOvernightIndexedCouponPricer.

initialize()

virtual void initialize ( const FloatingRateCoupon &  coupon )

pure virtual

Implemented in HaganPricer, IborCouponPricer, BlackIborCouponPricer, LinearTsrPricer, MultipleResetsPricer, CompoundingOvernightIndexedCouponPricer, ArithmeticAveragedOvernightIndexedCouponPricer, RangeAccrualPricer, and LognormalCmsSpreadPricer.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 61 of file couponpricer.hpp.

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