CmbCouponPricer Class Reference

Base pricer for vanilla CMB coupons. More...

#include <qle/cashflows/cmbcoupon.hpp>

Inheritance diagram for CmbCouponPricer:

Public Member Functions
void	initialize (const 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

Detailed Description

Base pricer for vanilla CMB coupons.