Black averaged overnight coupon pricer. More...
#include <qle/cashflows/blackovernightindexedcouponpricer.hpp>
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 |
CapFlooredAverageONIndexedCouponPricer (const Handle< OptionletVolatilityStructure > &v, const bool effectiveVolatilityInput=false) | |
Public Member Functions inherited from CapFlooredAverageONIndexedCouponPricer | |
CapFlooredAverageONIndexedCouponPricer (const Handle< OptionletVolatilityStructure > &v, const bool effectiveVolatilityInput=false) | |
Handle< OptionletVolatilityStructure > | capletVolatility () const |
bool | effectiveVolatilityInput () const |
Real | effectiveCapletVolatility () const |
Real | effectiveFloorletVolatility () const |
Additional Inherited Members | |
Protected Attributes inherited from CapFlooredAverageONIndexedCouponPricer | |
Handle< OptionletVolatilityStructure > | capletVol_ |
bool | effectiveVolatilityInput_ |
Real | effectiveCapletVolatility_ |
Real | effectiveFloorletVolatility_ |
Black averaged overnight coupon pricer.