SubPeriodsCouponPricer1 Class Reference

Pricer for sub-period coupons. More...

#include <qle/cashflows/subperiodscouponpricer.hpp>

Inheritance diagram for SubPeriodsCouponPricer1:

Public Member Functions
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
Real	gearing_
Spread	spread_
Time	accrualPeriod_
boost::shared_ptr< InterestRateIndex >	index_
SubPeriodsCoupon1::Type	type_
bool	includeSpread_
const SubPeriodsCoupon1 *	coupon_

Detailed Description

Pricer for sub-period coupons.