#include <overnightindexedcouponpricer.hpp>

Inheritance diagram for ArithmeticAveragedOvernightIndexedCouponPricer:

Collaboration diagram for ArithmeticAveragedOvernightIndexedCouponPricer:

Public Member Functions
	ArithmeticAveragedOvernightIndexedCouponPricer (Real meanReversion=0.03, Real volatility=0.00, bool byApprox=false)

	ArithmeticAveragedOvernightIndexedCouponPricer (bool byApprox)

void	initialize (const FloatingRateCoupon &coupon) override

Rate	swapletRate () const override

Real	swapletPrice () const override

Real	capletPrice (Rate) const override

Rate	capletRate (Rate) const override

Real	floorletPrice (Rate) const override

Rate	floorletRate (Rate) const override

Public Member Functions inherited from FloatingRateCouponPricer
	~FloatingRateCouponPricer () override=default

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 ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Protected Member Functions
Real	convAdj1 (Time ts, Time te) const

Real	convAdj2 (Time ts, Time te) const

Protected Attributes
const OvernightIndexedCoupon *	coupon_

bool	byApprox_

Real	mrs_

Real	vol_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

pricer for arithmetically averaged overnight indexed coupons Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve

Definition at line 61 of file overnightindexedcouponpricer.hpp.