QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
FloatingRateCouponPricer Class Referenceabstract

generic pricer for floating-rate coupons More...

#include <couponpricer.hpp>

+ Inheritance diagram for FloatingRateCouponPricer:
+ Collaboration diagram for FloatingRateCouponPricer:

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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

generic pricer for floating-rate coupons

Definition at line 45 of file couponpricer.hpp.

Constructor & Destructor Documentation

◆ ~FloatingRateCouponPricer()

~FloatingRateCouponPricer ( )
overridedefault

Member Function Documentation

◆ swapletPrice()

virtual Real swapletPrice ( ) const
pure virtual

◆ swapletRate()

virtual Rate swapletRate ( ) const
pure virtual

◆ capletPrice()

virtual Real capletPrice ( Rate  effectiveCap) const
pure virtual

◆ capletRate()

virtual Rate capletRate ( Rate  effectiveCap) const
pure virtual

◆ floorletPrice()

virtual Real floorletPrice ( Rate  effectiveFloor) const
pure virtual

◆ floorletRate()

virtual Rate floorletRate ( Rate  effectiveFloor) const
pure virtual

◆ initialize()

virtual void initialize ( const FloatingRateCoupon coupon)
pure virtual

◆ update()

void update ( )
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.

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