BlackInterpolatedIborCouponPricer Class Reference

Inheritance diagram for BlackInterpolatedIborCouponPricer:

Public Types
enum	TimingAdjustment { Black76 , BivariateLognormal }

Public Member Functions
	BlackInterpolatedIborCouponPricer (const Handle< QuantLib::OptionletVolatilityStructure > &v=Handle< QuantLib::OptionletVolatilityStructure >(), const TimingAdjustment timingAdjustment=Black76, const Handle< Quote > correlation=Handle< Quote >(QuantLib::ext::shared_ptr< Quote >(new QuantLib::SimpleQuote(1.0))), const QuantLib::ext::optional< bool > useIndexedCoupon=QuantLib::ext::nullopt)
void	initialize (const QuantLib::FloatingRateCoupon &coupon) override
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
Public Member Functions inherited from InterpolatedIborCouponPricer
	InterpolatedIborCouponPricer (Handle< QuantLib::OptionletVolatilityStructure > v=Handle< QuantLib::OptionletVolatilityStructure >(), QuantLib::ext::optional< bool > useIndexedCoupon=QuantLib::ext::nullopt)
bool	useIndexedCoupon () const
Handle< QuantLib::OptionletVolatilityStructure >	capletVolatility () const
void	setCapletVolatility (const Handle< QuantLib::OptionletVolatilityStructure > &v=Handle< QuantLib::OptionletVolatilityStructure >())
void	initialize (const QuantLib::FloatingRateCoupon &coupon) override
void	initializeCachedData (const InterpolatedIborCoupon &coupon) const

Protected Member Functions
Real	optionletPrice (QuantLib::Option::Type optionType, Real effStrike) const
Real	optionletRate (QuantLib::Option::Type optionType, Real effStrike) const
virtual Rate	adjustedFixing (Rate fixing=QuantLib::Null< Rate >()) const

Protected Attributes
Real	discount_
Protected Attributes inherited from InterpolatedIborCouponPricer
const InterpolatedIborCoupon *	coupon_
QuantLib::ext::shared_ptr< InterpolatedIborIndex >	index_
Date	fixingDate_
Real	gearing_
Spread	spread_
Time	accrualPeriod_
Date	fixingValueDate_
Date	fixingEndDate_
Date	fixingMaturityDate_
Time	spanningTime_
Time	spanningTimeIndexMaturity_
Handle< QuantLib::OptionletVolatilityStructure >	capletVol_
bool	useIndexedCoupon_