FormulaBasedCouponPricer Class Reference

base pricer for formula based coupons More...

#include <qle/cashflows/formulabasedcoupon.hpp>

Inheritance diagram for FormulaBasedCouponPricer:

Public Member Functions
	FormulaBasedCouponPricer (const std::string &paymentCurrencyCode, const std::map< std::string, Handle< BlackVolTermStructure >> &fxVolatilities, const std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure >> &correlation)

Protected Attributes
const std::string	paymentCurrencyCode_
const std::map< std::string, Handle< BlackVolTermStructure > >	fxVolatilities_
std::map< std::pair< std::string, std::string >, Handle< QuantExt::CorrelationTermStructure > >	correlation_

Detailed Description

base pricer for formula based coupons