BlackOvernightIndexedCouponPricer Class Reference

Black compounded overnight coupon pricer. More...

#include <qle/cashflows/blackovernightindexedcouponpricer.hpp>

Inheritance diagram for BlackOvernightIndexedCouponPricer:

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
	CappedFlooredOvernightIndexedCouponPricer (const Handle< OptionletVolatilityStructure > &v, const bool effectiveVolatilityInput=false)
Public Member Functions inherited from CappedFlooredOvernightIndexedCouponPricer
	CappedFlooredOvernightIndexedCouponPricer (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 CappedFlooredOvernightIndexedCouponPricer
Handle< OptionletVolatilityStructure >	capletVol_
bool	effectiveVolatilityInput_
Real	effectiveCapletVolatility_ = Null<Real>()
Real	effectiveFloorletVolatility_ = Null<Real>()

Detailed Description

Black compounded overnight coupon pricer.