- 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.