- QuantLib
- BlackIborCouponPricer
Black-formula pricer for capped/floored Ibor coupons. More...
#include <ql/cashflows/couponpricer.hpp>

Public Member Functions | |
| BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) | |
| 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_ |
Black-formula pricer for capped/floored Ibor coupons.