QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | Protected Attributes | List of all members
IborCouponPricer Class Reference

base pricer for capped/floored Ibor coupons More...

#include <couponpricer.hpp>

+ Inheritance diagram for IborCouponPricer:
+ Collaboration diagram for IborCouponPricer:

Public Member Functions

 IborCouponPricer (Handle< OptionletVolatilityStructure > v=Handle< OptionletVolatilityStructure >(), ext::optional< bool > useIndexedCoupon=ext::nullopt)
 
bool useIndexedCoupon () const
 
Handle< OptionletVolatilityStructurecapletVolatility () 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
 
virtual Real swapletPrice () const =0
 
virtual Rate swapletRate () const =0
 
virtual Real capletPrice (Rate effectiveCap) const =0
 
virtual Rate capletRate (Rate effectiveCap) const =0
 
virtual Real floorletPrice (Rate effectiveFloor) const =0
 
virtual Rate floorletRate (Rate effectiveFloor) const =0
 
void update () override
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Protected Attributes

const IborCouponcoupon_
 
ext::shared_ptr< IborIndexindex_
 
Date fixingDate_
 
Real gearing_
 
Spread spread_
 
Time accrualPeriod_
 
Date fixingValueDate_
 
Date fixingEndDate_
 
Date fixingMaturityDate_
 
Time spanningTime_
 
Time spanningTimeIndexMaturity_
 
Handle< OptionletVolatilityStructurecapletVol_
 
bool useIndexedCoupon_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Detailed Description

base pricer for capped/floored Ibor coupons

Definition at line 66 of file couponpricer.hpp.

Constructor & Destructor Documentation

◆ IborCouponPricer()

IborCouponPricer ( Handle< OptionletVolatilityStructure v = Handle<OptionletVolatilityStructure>(),
ext::optional< bool useIndexedCoupon = ext::nullopt 
)
explicit

Definition at line 43 of file couponpricer.cpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ useIndexedCoupon()

bool useIndexedCoupon ( ) const

Definition at line 72 of file couponpricer.hpp.

◆ capletVolatility()

Handle< OptionletVolatilityStructure > capletVolatility ( ) const

Definition at line 74 of file couponpricer.hpp.

+ Here is the caller graph for this function:

◆ setCapletVolatility()

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

Definition at line 77 of file couponpricer.hpp.

+ Here is the call graph for this function:

◆ initialize()

void initialize ( const FloatingRateCoupon coupon)
overridevirtual

Implements FloatingRateCouponPricer.

Reimplemented in BlackIborCouponPricer.

Definition at line 93 of file couponpricer.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ initializeCachedData()

void initializeCachedData ( const IborCoupon coupon) const

Definition at line 53 of file couponpricer.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

Member Data Documentation

◆ coupon_

const IborCoupon* coupon_
protected

Definition at line 91 of file couponpricer.hpp.

◆ index_

ext::shared_ptr<IborIndex> index_
protected

Definition at line 93 of file couponpricer.hpp.

◆ fixingDate_

Date fixingDate_
protected

Definition at line 94 of file couponpricer.hpp.

◆ gearing_

Real gearing_
protected

Definition at line 95 of file couponpricer.hpp.

◆ spread_

Spread spread_
protected

Definition at line 96 of file couponpricer.hpp.

◆ accrualPeriod_

Time accrualPeriod_
protected

Definition at line 97 of file couponpricer.hpp.

◆ fixingValueDate_

Date fixingValueDate_
protected

Definition at line 99 of file couponpricer.hpp.

◆ fixingEndDate_

Date fixingEndDate_
protected

Definition at line 99 of file couponpricer.hpp.

◆ fixingMaturityDate_

Date fixingMaturityDate_
protected

Definition at line 99 of file couponpricer.hpp.

◆ spanningTime_

Time spanningTime_
protected

Definition at line 100 of file couponpricer.hpp.

◆ spanningTimeIndexMaturity_

Time spanningTimeIndexMaturity_
protected

Definition at line 100 of file couponpricer.hpp.

◆ capletVol_

Handle<OptionletVolatilityStructure> capletVol_
protected

Definition at line 102 of file couponpricer.hpp.

◆ useIndexedCoupon_

bool useIndexedCoupon_
protected

Definition at line 103 of file couponpricer.hpp.