QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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generic pricer for floating-rate coupons More...
#include <couponpricer.hpp>
Public Member Functions | |
~FloatingRateCouponPricer () override=default | |
required interface | |
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 |
virtual void | initialize (const FloatingRateCoupon &coupon)=0 |
Observer interface | |
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 () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
generic pricer for floating-rate coupons
Definition at line 45 of file couponpricer.hpp.
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overridedefault |
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pure virtual |
Implemented in NumericHaganPricer, AnalyticHaganPricer, BlackIborCouponPricer, LinearTsrPricer, RangeAccrualPricerByBgm, SubPeriodsPricer, ArithmeticAveragedOvernightIndexedCouponPricer, LognormalCmsSpreadPricer, and HaganPricer.
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pure virtual |
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pure virtual |
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overridevirtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Definition at line 61 of file couponpricer.hpp.