CappedFlooredOvernightIndexedCouponPricer Class Reference

capped floored overnight indexed coupon pricer base class More...

#include <qle/cashflows/overnightindexedcoupon.hpp>

Inheritance diagram for CappedFlooredOvernightIndexedCouponPricer:

Collaboration diagram for CappedFlooredOvernightIndexedCouponPricer:

Public Member Functions
	CappedFlooredOvernightIndexedCouponPricer (const Handle< OptionletVolatilityStructure > &v, const bool effectiveVolatilityInput=false)
Handle< OptionletVolatilityStructure >	capletVolatility () const
bool	effectiveVolatilityInput () const
Real	effectiveCapletVolatility () const
Real	effectiveFloorletVolatility () const

Protected Attributes
Handle< OptionletVolatilityStructure >	capletVol_
bool	effectiveVolatilityInput_
Real	effectiveCapletVolatility_ = Null<Real>()
Real	effectiveFloorletVolatility_ = Null<Real>()

Detailed Description

capped floored overnight indexed coupon pricer base class

Definition at line 212 of file overnightindexedcoupon.hpp.

Constructor & Destructor Documentation

CappedFlooredOvernightIndexedCouponPricer()

CappedFlooredOvernightIndexedCouponPricer	(	const Handle< OptionletVolatilityStructure > &	v,
		const bool	effectiveVolatilityInput = false
	)

Definition at line 449 of file overnightindexedcoupon.cpp.

    : capletVol_(v), effectiveVolatilityInput_(effectiveVolatilityInput) {
    registerWith(capletVol_);
}

Member Function Documentation

capletVolatility()

Handle< OptionletVolatilityStructure > capletVolatility

(

)

const

Definition at line 463 of file overnightindexedcoupon.cpp.

                                                                                                       {
    return capletVol_;
}

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effectiveVolatilityInput()

bool effectiveVolatilityInput

(

)

const

Definition at line 455 of file overnightindexedcoupon.cpp.

{ return effectiveVolatilityInput_; }

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effectiveCapletVolatility()

Real effectiveCapletVolatility

(

)

const

Definition at line 457 of file overnightindexedcoupon.cpp.

{ return effectiveCapletVolatility_; }

effectiveFloorletVolatility()

Real effectiveFloorletVolatility

(

)

const

Definition at line 459 of file overnightindexedcoupon.cpp.

                                                                                  {
    return effectiveFloorletVolatility_;
}

Member Data Documentation

capletVol_

Handle<OptionletVolatilityStructure> capletVol_

protected

Definition at line 222 of file overnightindexedcoupon.hpp.

effectiveVolatilityInput_

bool effectiveVolatilityInput_

protected

Definition at line 223 of file overnightindexedcoupon.hpp.

effectiveCapletVolatility_

Real effectiveCapletVolatility_ = Null<Real>()

mutableprotected

Definition at line 224 of file overnightindexedcoupon.hpp.

effectiveFloorletVolatility_

Real effectiveFloorletVolatility_ = Null<Real>()

mutableprotected

Definition at line 225 of file overnightindexedcoupon.hpp.