CmsSpreadCouponPricer Class Reference

base pricer for vanilla CMS spread coupons More...

#include <cmsspreadcoupon.hpp>

Inheritance diagram for CmsSpreadCouponPricer:

Collaboration diagram for CmsSpreadCouponPricer:

Public Member Functions
	CmsSpreadCouponPricer (Handle< Quote > correlation=Handle< Quote >())
Handle< Quote >	correlation () const
void	setCorrelation (const Handle< Quote > &correlation=Handle< Quote >())
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
virtual void	initialize (const FloatingRateCoupon &coupon)=0
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 ()

Private Attributes
Handle< Quote >	correlation_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

base pricer for vanilla CMS spread coupons

Definition at line 138 of file cmsspreadcoupon.hpp.

Constructor & Destructor Documentation

CmsSpreadCouponPricer()

CmsSpreadCouponPricer ( Handle< Quote >  correlation = Handle<Quote>() )

explicit

Definition at line 140 of file cmsspreadcoupon.hpp.

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Member Function Documentation

correlation()

Handle< Quote > correlation

(

)

const

Definition at line 145 of file cmsspreadcoupon.hpp.

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setCorrelation()

void setCorrelation

(

const Handle< Quote > &

correlation = Handle<Quote>()

)

Definition at line 149 of file cmsspreadcoupon.hpp.

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Member Data Documentation

correlation_

Handle<Quote> correlation_

private

Definition at line 157 of file cmsspreadcoupon.hpp.