QuantLib_FloatingRateCouponPricer man page

FloatingRateCouponPricer — generic pricer for floating-rate coupons  


#include <ql/cashflows/couponpricer.hpp>

Inherits Observer, and Observable.

Inherited by ArithmeticAveragedOvernightIndexedCouponPricer, CmsCouponPricer, CmsSpreadCouponPricer, IborCouponPricer, RangeAccrualPricer, and SubPeriodsPricer.

Public Member Functions

required interface

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

Observer interface

void update ()

Additional Inherited Members

Detailed Description

generic pricer for floating-rate coupons

Member Function Documentation

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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Wed Feb 7 2018 Version 1.10.1 QuantLib