QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <couponpricer.hpp>
Public Types | |
enum | TimingAdjustment { Black76 , BivariateLognormal } |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions | |
Real | optionletPrice (Option::Type optionType, Real effStrike) const |
Real | optionletRate (Option::Type optionType, Real effStrike) const |
virtual Rate | adjustedFixing (Rate fixing=Null< Rate >()) const |
Protected Attributes | |
Real | discount_ |
Protected Attributes inherited from IborCouponPricer | |
const IborCoupon * | coupon_ |
ext::shared_ptr< IborIndex > | index_ |
Date | fixingDate_ |
Real | gearing_ |
Spread | spread_ |
Time | accrualPeriod_ |
Date | fixingValueDate_ |
Date | fixingEndDate_ |
Date | fixingMaturityDate_ |
Time | spanningTime_ |
Time | spanningTimeIndexMaturity_ |
Handle< OptionletVolatilityStructure > | capletVol_ |
bool | useIndexedCoupon_ |
Private Attributes | |
const TimingAdjustment | timingAdjustment_ |
const Handle< Quote > | correlation_ |
Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550 BivariateLognormal http://ssrn.com/abstract=2170721
Definition at line 111 of file couponpricer.hpp.
enum TimingAdjustment |
Enumerator | |
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Black76 | |
BivariateLognormal |
Definition at line 113 of file couponpricer.hpp.
BlackIborCouponPricer | ( | const Handle< OptionletVolatilityStructure > & | v = Handle<OptionletVolatilityStructure>() , |
const TimingAdjustment | timingAdjustment = Black76 , |
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Handle< Quote > | correlation = Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(1.0))) , |
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const ext::optional< bool > | useIndexedCoupon = ext::nullopt |
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) |
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overridevirtual |
Reimplemented from IborCouponPricer.
Definition at line 117 of file couponpricer.cpp.
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overridevirtual |
Implements FloatingRateCouponPricer.
Definition at line 209 of file couponpricer.hpp.
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overridevirtual |
Implements FloatingRateCouponPricer.
Definition at line 215 of file couponpricer.hpp.
Implements FloatingRateCouponPricer.
Definition at line 219 of file couponpricer.hpp.
Implements FloatingRateCouponPricer.
Definition at line 224 of file couponpricer.hpp.
Implements FloatingRateCouponPricer.
Definition at line 229 of file couponpricer.hpp.
Implements FloatingRateCouponPricer.
Definition at line 235 of file couponpricer.hpp.
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protected |
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protected |
Definition at line 135 of file couponpricer.cpp.
Reimplemented in BlackIborQuantoCouponPricer.
Definition at line 173 of file couponpricer.cpp.
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protected |
Definition at line 141 of file couponpricer.hpp.
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private |
Definition at line 144 of file couponpricer.hpp.
Definition at line 145 of file couponpricer.hpp.