IborCouponPricer Class Reference

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

#include <couponpricer.hpp>

Inheritance diagram for IborCouponPricer:

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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
	~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
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 ()

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

Definition at line 66 of file couponpricer.hpp.

Constructor & Destructor Documentation

IborCouponPricer()

IborCouponPricer ( Handle< OptionletVolatilityStructure >  v = Handle<OptionletVolatilityStructure>(), ext::optional< bool >  useIndexedCoupon = ext::nullopt  )

explicit

Definition at line 43 of file couponpricer.cpp.

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Member Function Documentation

useIndexedCoupon()

bool useIndexedCoupon

(

)

const

Definition at line 72 of file couponpricer.hpp.

capletVolatility()

Handle< OptionletVolatilityStructure > capletVolatility

(

)

const

Definition at line 74 of file couponpricer.hpp.

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setCapletVolatility()

void setCapletVolatility

(

const Handle< OptionletVolatilityStructure > &

v = Handle<OptionletVolatilityStructure>()

)

Definition at line 77 of file couponpricer.hpp.

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initialize()

void initialize ( const FloatingRateCoupon &  coupon )

overridevirtual

Implements FloatingRateCouponPricer.

Reimplemented in BlackIborCouponPricer.

Definition at line 93 of file couponpricer.cpp.

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initializeCachedData()

void initializeCachedData

(

const IborCoupon &

coupon

)

const

Definition at line 53 of file couponpricer.cpp.

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Member Data Documentation

coupon_

const IborCoupon* coupon_

protected

Definition at line 91 of file couponpricer.hpp.

index_

ext::shared_ptr<IborIndex> index_

protected

Definition at line 93 of file couponpricer.hpp.

fixingDate_

Date fixingDate_

protected

Definition at line 94 of file couponpricer.hpp.

gearing_

Real gearing_

protected

Definition at line 95 of file couponpricer.hpp.

spread_

Spread spread_

protected

Definition at line 96 of file couponpricer.hpp.

accrualPeriod_

Time accrualPeriod_

protected

Definition at line 97 of file couponpricer.hpp.

fixingValueDate_

Date fixingValueDate_

protected

Definition at line 99 of file couponpricer.hpp.

fixingEndDate_

Date fixingEndDate_

protected

Definition at line 99 of file couponpricer.hpp.

fixingMaturityDate_

Date fixingMaturityDate_

protected

Definition at line 99 of file couponpricer.hpp.

spanningTime_

Time spanningTime_

protected

Definition at line 100 of file couponpricer.hpp.

spanningTimeIndexMaturity_

Time spanningTimeIndexMaturity_

protected

Definition at line 100 of file couponpricer.hpp.

capletVol_

Handle<OptionletVolatilityStructure> capletVol_

protected

Definition at line 102 of file couponpricer.hpp.

useIndexedCoupon_

bool useIndexedCoupon_

protected

Definition at line 103 of file couponpricer.hpp.