#include <ql/cashflows/couponpricer.hpp>

Inheritance diagram for BlackIborCouponPricer:

Collaboration diagram for BlackIborCouponPricer:

Public Types
enum	TimingAdjustment { Black76 , BivariateLognormal }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, Handle< Quote > correlation=Handle< Quote >(ext::shared_ptr< Quote >(new SimpleQuote(1.0))), const ext::optional< bool > useIndexedCoupon=ext::nullopt)

void	initialize (const FloatingRateCoupon &coupon) override

Real	swapletPrice () const override

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

Public Member Functions inherited from IborCouponPricer
	IborCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), ext::optional< bool > useIndexedCoupon=ext::nullopt)

bool	useIndexedCoupon () const

Handle< OptionletVolatilityStructure >	capletVolatility () const

void	setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())

void	initialize (const FloatingRateCoupon &coupon) override

void	initializeCachedData (const IborCoupon &coupon) const

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	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_

Detailed Description

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.

Member Enumeration Documentation

◆ TimingAdjustment

enum TimingAdjustment

Enumerator
Black76
BivariateLognormal

Definition at line 113 of file couponpricer.hpp.

Constructor & Destructor Documentation

◆ BlackIborCouponPricer()

BlackIborCouponPricer	(	const Handle< OptionletVolatilityStructure > &	v = `Handle<OptionletVolatilityStructure>()`,
		const TimingAdjustment	timingAdjustment = `Black76`,
		Handle< Quote >	correlation = `Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(1.0)))`,
		const ext::optional< bool >	useIndexedCoupon = `ext::nullopt`
	)