QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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base pricer for capped/floored Ibor coupons More...
#include <couponpricer.hpp>
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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_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
base pricer for capped/floored Ibor coupons
Definition at line 66 of file couponpricer.hpp.
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bool useIndexedCoupon | ( | ) | const |
Definition at line 72 of file couponpricer.hpp.
Handle< OptionletVolatilityStructure > capletVolatility | ( | ) | const |
void setCapletVolatility | ( | const Handle< OptionletVolatilityStructure > & | v = Handle<OptionletVolatilityStructure>() | ) |
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overridevirtual |
Implements FloatingRateCouponPricer.
Reimplemented in BlackIborCouponPricer.
Definition at line 93 of file couponpricer.cpp.
void initializeCachedData | ( | const IborCoupon & | coupon | ) | const |
Definition at line 53 of file couponpricer.cpp.
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Definition at line 91 of file couponpricer.hpp.
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Definition at line 93 of file couponpricer.hpp.
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Definition at line 94 of file couponpricer.hpp.
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Definition at line 95 of file couponpricer.hpp.
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Definition at line 96 of file couponpricer.hpp.
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Definition at line 97 of file couponpricer.hpp.
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Definition at line 99 of file couponpricer.hpp.
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Definition at line 99 of file couponpricer.hpp.
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Definition at line 99 of file couponpricer.hpp.
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Definition at line 100 of file couponpricer.hpp.
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Definition at line 100 of file couponpricer.hpp.
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Definition at line 102 of file couponpricer.hpp.
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Definition at line 103 of file couponpricer.hpp.