QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
BlackIborCouponPricer Class Reference

Black-formula pricer for capped/floored Ibor coupons. More...

#include <ql/cashflows/couponpricer.hpp>

+ Inheritance diagram for BlackIborCouponPricer:

Public Member Functions

 BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
 
virtual void initialize (const FloatingRateCoupon &coupon)
 
Real swapletPrice () const
 
Rate swapletRate () const
 
Real capletPrice (Rate effectiveCap) const
 
Rate capletRate (Rate effectiveCap) const
 
Real floorletPrice (Rate effectiveFloor) const
 
Rate floorletRate (Rate effectiveFloor) const
 
- Public Member Functions inherited from IborCouponPricer
 IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
 
Handle
< OptionletVolatilityStructure
capletVolatility () const
 
void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
 
- Public Member Functions inherited from FloatingRateCouponPricer
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

Real optionletPrice (Option::Type optionType, Real effStrike) const
 
virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const
 

Protected Attributes

Real gearing_
 
Spread spread_
 
Time accrualPeriod_
 
boost::shared_ptr< IborIndexindex_
 
Real discount_
 
Real spreadLegValue_
 
const FloatingRateCouponcoupon_
 

Detailed Description

Black-formula pricer for capped/floored Ibor coupons.

Examples:
Bonds.cpp.