CmbCouponPricer Class Reference

Base pricer for vanilla CMB coupons. More...

#include <qle/cashflows/cmbcoupon.hpp>

Inheritance diagram for CmbCouponPricer:

Collaboration diagram for CmbCouponPricer:

Public Member Functions
	CmbCouponPricer ()
void	initialize (const FloatingRateCoupon &coupon) override
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override

Private Attributes
const CmbCoupon *	coupon_
ext::shared_ptr< ConstantMaturityBondIndex >	index_
Real	gearing_
Real	spread_
Date	fixingDate_

Detailed Description

Base pricer for vanilla CMB coupons.

Definition at line 68 of file cmbcoupon.hpp.

Constructor & Destructor Documentation

CmbCouponPricer()

CmbCouponPricer ( )

explicit

Definition at line 70 of file cmbcoupon.hpp.

{}

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon &  coupon )

override

Definition at line 55 of file cmbcoupon.cpp.

                                                                 {
    coupon_ = dynamic_cast<const CmbCoupon *>(&coupon);
    QL_REQUIRE(coupon_, "CmbCouponPricer: expected CmbCoupon");
    index_ = coupon_->bondIndex();
    gearing_ = coupon_->gearing();
    spread_ = coupon_->spread();
    fixingDate_ = coupon_->fixingDate();
}

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swapletPrice()

Real swapletPrice ( ) const

override

Definition at line 64 of file cmbcoupon.cpp.

                                         {
    return 0.0;
}

swapletRate()

Rate swapletRate ( ) const

override

Definition at line 68 of file cmbcoupon.cpp.

                                        {
    return gearing_ * (index_->fixing(fixingDate_) + spread_);
}

capletPrice()

Real capletPrice ( Rate  effectiveCap ) const

override

Definition at line 72 of file cmbcoupon.cpp.

                                                         {
    return 0.0;
};

capletRate()

Rate capletRate ( Rate  effectiveCap ) const

override

Definition at line 76 of file cmbcoupon.cpp.

                                                        {
    return 0.0;
};

floorletPrice()

Real floorletPrice ( Rate  effectiveFloor ) const

override

Definition at line 80 of file cmbcoupon.cpp.

                                                             {
    return 0.0;
};

floorletRate()

Rate floorletRate ( Rate  effectiveFloor ) const

override

Definition at line 84 of file cmbcoupon.cpp.

                                                            {
    return 0.0;
};

Member Data Documentation

coupon_

const CmbCoupon* coupon_

private

Definition at line 79 of file cmbcoupon.hpp.

index_

ext::shared_ptr<ConstantMaturityBondIndex> index_

private

Definition at line 80 of file cmbcoupon.hpp.

gearing_

Real gearing_

private

Definition at line 81 of file cmbcoupon.hpp.

spread_

Real spread_

private

Definition at line 82 of file cmbcoupon.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 83 of file cmbcoupon.hpp.