QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <quantocouponpricer.hpp>
Protected Member Functions | |
Rate | adjustedFixing (Rate fixing=Null< Rate >()) const override |
Protected Member Functions inherited from BlackIborCouponPricer | |
Real | optionletPrice (Option::Type optionType, Real effStrike) const |
Real | optionletRate (Option::Type optionType, Real effStrike) const |
virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Private Attributes | |
Handle< BlackVolTermStructure > | fxRateBlackVolatility_ |
Handle< Quote > | underlyingFxCorrelation_ |
Additional Inherited Members | |
Public Types inherited from BlackIborCouponPricer | |
enum | TimingAdjustment { Black76 , BivariateLognormal } |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from BlackIborCouponPricer | |
Real | discount_ |
Protected Attributes inherited from IborCouponPricer | |
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_ |
Definition at line 34 of file quantocouponpricer.hpp.
BlackIborQuantoCouponPricer | ( | Handle< BlackVolTermStructure > | fxRateBlackVolatility, |
Handle< Quote > | underlyingFxCorrelation, | ||
const Handle< OptionletVolatilityStructure > & | capletVolatility | ||
) |
Reimplemented from BlackIborCouponPricer.
Definition at line 31 of file quantocouponpricer.cpp.
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private |
Definition at line 50 of file quantocouponpricer.hpp.
Definition at line 51 of file quantocouponpricer.hpp.