- QuantLib
- BlackIborCouponPricer
Black-formula pricer for capped/floored Ibor coupons. More...
#include <ql/cashflows/couponpricer.hpp>
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< IborIndex > | index_ |
Real | discount_ |
Real | spreadLegValue_ |
const FloatingRateCoupon * | coupon_ |
Black-formula pricer for capped/floored Ibor coupons.