BlackIborCouponPricer Class Reference

Black-formula pricer for capped/floored Ibor coupons. More...

#include <ql/cashflows/couponpricer.hpp>

Inheritance diagram for BlackIborCouponPricer:

List of all members.

Public Member Functions

 BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())
virtual void initialize (const FloatingRateCoupon &coupon)
Real swapletPrice () const
Rate swapletRate () const
Real capletPrice (Rate effectiveCap) const
Rate capletRate (Rate effectiveCap) const
Real floorletPrice (Rate effectiveFloor) const
Rate floorletRate (Rate effectiveFloor) const

Protected Member Functions

Real optionletPrice (Option::Type optionType, Real effStrike) const
virtual Rate adjustedFixing (Rate fixing=Null< Rate >()) const

Protected Attributes

Real gearing_
Spread spread_
Time accrualPeriod_
boost::shared_ptr< IborIndexindex_
Real discount_
Real spreadLegValue_
const FloatingRateCouponcoupon_

Detailed Description

Black-formula pricer for capped/floored Ibor coupons.

Examples:
Bonds.cpp.