#include <rangeaccrual.hpp>
Inheritance diagram for RangeAccrualPricer:
Collaboration diagram for RangeAccrualPricer:
Observer interface | |
| const RangeAccrualFloatersCoupon * | coupon_ |
| Real | startTime_ |
| Real | endTime_ |
| Real | accrualFactor_ |
| std::vector< Real > | observationTimeLags_ |
| std::vector< Real > | observationTimes_ |
| std::vector< Real > | initialValues_ |
| Size | observationsNo_ |
| Real | lowerTrigger_ |
| Real | upperTrigger_ |
| Real | discount_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | spreadLegValue_ |
| 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 |
| void | initialize (const FloatingRateCoupon &coupon) override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Public Member Functions inherited from FloatingRateCouponPricer | |
| ~FloatingRateCouponPricer () override=default | |
| virtual Real | swapletPrice () const =0 |
| 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 () |
Detailed Description
Definition at line 91 of file rangeaccrual.hpp.
Member Function Documentation
◆ swapletRate()
|
overridevirtual |
Implements FloatingRateCouponPricer.
Definition at line 150 of file rangeaccrual.cpp.
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◆ capletPrice()
Implements FloatingRateCouponPricer.
Definition at line 154 of file rangeaccrual.cpp.
◆ capletRate()
Implements FloatingRateCouponPricer.
Definition at line 158 of file rangeaccrual.cpp.
◆ floorletPrice()
Implements FloatingRateCouponPricer.
Definition at line 162 of file rangeaccrual.cpp.
◆ floorletRate()
Implements FloatingRateCouponPricer.
Definition at line 166 of file rangeaccrual.cpp.
◆ initialize()
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overridevirtual |
Implements FloatingRateCouponPricer.
Definition at line 111 of file rangeaccrual.cpp.
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Member Data Documentation
◆ coupon_
|
protected |
Definition at line 104 of file rangeaccrual.hpp.
◆ startTime_
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protected |
Definition at line 105 of file rangeaccrual.hpp.
◆ endTime_
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protected |
Definition at line 106 of file rangeaccrual.hpp.
◆ accrualFactor_
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protected |
Definition at line 107 of file rangeaccrual.hpp.
◆ observationTimeLags_
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protected |
Definition at line 108 of file rangeaccrual.hpp.
◆ observationTimes_
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protected |
Definition at line 109 of file rangeaccrual.hpp.
◆ initialValues_
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protected |
Definition at line 110 of file rangeaccrual.hpp.
◆ observationsNo_
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protected |
Definition at line 111 of file rangeaccrual.hpp.
◆ lowerTrigger_
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protected |
Definition at line 112 of file rangeaccrual.hpp.
◆ upperTrigger_
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protected |
Definition at line 113 of file rangeaccrual.hpp.
◆ discount_
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protected |
Definition at line 114 of file rangeaccrual.hpp.
◆ gearing_
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protected |
Definition at line 115 of file rangeaccrual.hpp.
◆ spread_
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protected |
Definition at line 116 of file rangeaccrual.hpp.
◆ spreadLegValue_
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protected |
Definition at line 117 of file rangeaccrual.hpp.