base pricer for vanilla CMS coupons More...
#include <couponpricer.hpp>
Inheritance diagram for CmsCouponPricer:
Collaboration diagram for CmsCouponPricer:
Public Member Functions | |
| CmsCouponPricer (Handle< SwaptionVolatilityStructure > v=Handle< SwaptionVolatilityStructure >()) | |
| Handle< SwaptionVolatilityStructure > | swaptionVolatility () const |
| void | setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) |
| Public Member Functions inherited from FloatingRateCouponPricer | |
| ~FloatingRateCouponPricer () override=default | |
| 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 |
| 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 () |
Private Attributes | |
| Handle< SwaptionVolatilityStructure > | swaptionVol_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
base pricer for vanilla CMS coupons
Definition at line 149 of file couponpricer.hpp.
Constructor & Destructor Documentation
◆ CmsCouponPricer()
|
explicit |
Member Function Documentation
◆ swaptionVolatility()
| Handle< SwaptionVolatilityStructure > swaptionVolatility | ( | ) | const |
◆ setSwaptionVolatility()
| void setSwaptionVolatility | ( | const Handle< SwaptionVolatilityStructure > & | v = Handle<SwaptionVolatilityStructure>() | ) |
Member Data Documentation
◆ swaptionVol_
|
private |
Definition at line 169 of file couponpricer.hpp.