OvernightIndexedCouponPricer Class Reference

OvernightIndexedCoupon pricer. More...

#include <qle/cashflows/overnightindexedcoupon.hpp>

Inheritance diagram for OvernightIndexedCouponPricer:

Public Member Functions
void	initialize (const FloatingRateCoupon &coupon) override
void	compute () const
Rate	swapletRate () const override
Rate	effectiveSpread () const
Rate	effectiveIndexFixing () const
Real	swapletPrice () const override
Real	capletPrice (Rate) const override
Rate	capletRate (Rate) const override
Real	floorletPrice (Rate) const override
Rate	floorletRate (Rate) const override

Protected Attributes
const OvernightIndexedCoupon *	coupon_
Real	swapletRate_
Real	effectiveSpread_
Real	effectiveIndexFixing_

Detailed Description

OvernightIndexedCoupon pricer.