OvernightIndexedCoupon pricer. More...
#include <qle/cashflows/overnightindexedcoupon.hpp>
Public Member Functions | |
void | initialize (const FloatingRateCoupon &coupon) override |
void | compute () const |
Rate | swapletRate () const override |
Rate | effectiveSpread () const |
Rate | effectiveIndexFixing () const |
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 | |
const OvernightIndexedCoupon * | coupon_ |
Real | swapletRate_ |
Real | effectiveSpread_ |
Real | effectiveIndexFixing_ |
OvernightIndexedCoupon pricer.