QuantLib_BlackIborCouponPricer man page



#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

Examples: Bonds.cpp.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages accrualPeriod_(3), adjustedFixing(3), BlackIborCouponPricer(3), gearing_(3), index_(3) and spreadLegValue_(3) are aliases of QuantLib_BlackIborCouponPricer(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib