QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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range-accrual coupon More...
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/time/schedule.hpp>
#include <vector>
Go to the source code of this file.
Classes | |
class | RangeAccrualFloatersCoupon |
class | RangeAccrualPricer |
class | RangeAccrualPricerByBgm |
class | RangeAccrualLeg |
helper class building a sequence of range-accrual floating-rate coupons More... | |
Namespaces | |
namespace | QuantLib |
range-accrual coupon
Definition in file rangeaccrual.hpp.