AverageONIndexedCouponPricer Class Reference

Pricer for average overnight indexed coupons. More...

#include <qle/cashflows/averageonindexedcouponpricer.hpp>

Inheritance diagram for AverageONIndexedCouponPricer:

Public Types
enum	Approximation { Takada , None }

Public Member Functions
	AverageONIndexedCouponPricer (Approximation approxType=Takada)
void	initialize (const FloatingRateCoupon &coupon) override
Rate	swapletRate () const override
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
Approximation	approximationType_
Real	gearing_
Spread	spread_
Time	accrualPeriod_
boost::shared_ptr< OvernightIndex >	overnightIndex_
const AverageONIndexedCoupon *	coupon_

Detailed Description

Pricer for average overnight indexed coupons.