ArithmeticAveragedOvernightIndexedCouponPricer Class Reference

#include <averageoiscouponpricer.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 ()
	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 36 of file averageoiscouponpricer.hpp.

Constructor & Destructor Documentation

ArithmeticAveragedOvernightIndexedCouponPricer() [1/2]

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

explicit

Definition at line 39 of file averageoiscouponpricer.hpp.

ArithmeticAveragedOvernightIndexedCouponPricer() [2/2]

ArithmeticAveragedOvernightIndexedCouponPricer ( bool  byApprox )

explicit

Definition at line 45 of file averageoiscouponpricer.hpp.

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon &  coupon )

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 30 of file averageoiscouponpricer.cpp.

swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 36 of file averageoiscouponpricer.cpp.

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swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 51 of file averageoiscouponpricer.hpp.

capletPrice()

Real capletPrice ( Rate  ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 52 of file averageoiscouponpricer.hpp.

capletRate()

Rate capletRate ( Rate  ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 53 of file averageoiscouponpricer.hpp.

floorletPrice()

Real floorletPrice ( Rate  ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 54 of file averageoiscouponpricer.hpp.

floorletRate()

Rate floorletRate ( Rate  ) const

overridevirtual

Implements FloatingRateCouponPricer.

Definition at line 55 of file averageoiscouponpricer.hpp.

convAdj1()

Real convAdj1 ( Time  ts, Time  te  ) const

protected

Definition at line 131 of file averageoiscouponpricer.cpp.

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convAdj2()

Real convAdj2 ( Time  ts, Time  te  ) const

protected

Definition at line 138 of file averageoiscouponpricer.cpp.

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Member Data Documentation

coupon_

const OvernightIndexedCoupon* coupon_

protected

Definition at line 60 of file averageoiscouponpricer.hpp.

byApprox_

bool byApprox_

protected

Definition at line 61 of file averageoiscouponpricer.hpp.

mrs_

Real mrs_

protected

Definition at line 62 of file averageoiscouponpricer.hpp.

vol_

Real vol_

protected

Definition at line 63 of file averageoiscouponpricer.hpp.