QuantLib_BlackIborCouponPricer man page

BlackIborCouponPricer —


#include <ql/cashflows/couponpricer.hpp>

Inherits IborCouponPricer.

Inherited by BlackIborQuantoCouponPricer.

Public Types

enum TimingAdjustment { Black76, BivariateLognormal }

Public Member Functions

BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, const Handle< Quote > correlation=Handle< Quote >(boost::shared_ptr< Quote >(new SimpleQuote(1.0))))

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_

Detailed Description

Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550 BivariateLognormal http://ssrn.com/abstract=2170721 The bivariate lognormal adjustment implementation is still considered experimental

Examples: Bonds.cpp.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

accrualPeriod_(3), adjustedFixing(3), BlackIborCouponPricer(3), capletPrice(3), capletRate(3), coupon_(3), floorletPrice(3), floorletRate(3), gearing_(3), index_(3), spread_(3), spreadLegValue_(3) and swapletRate(3) are aliases of QuantLib_BlackIborCouponPricer(3).

QuantLib Version 1.8.1 Fri Sep 23 2016