BlackIborCouponPricer Class Reference

#include <ql/cashflows/couponpricer.hpp>

Inheritance diagram for BlackIborCouponPricer:

Inheritance graph
[legend]
List of all members.

Detailed Description

Black-formula pricer for capped/floored Ibor coupons.


Public Member Functions

 BlackIborCouponPricer (const Handle< CapletVolatilityStructure > &capletVol=Handle< CapletVolatilityStructure >())
void initialize (const FloatingRateCoupon &coupon)
Real swapletPrice () const
Rate swapletRate () const
Real capletPrice (Rate effectiveCap) const
Rate capletRate (Rate effectiveCap) const
Real floorletPrice (Rate effectiveFloor) const
Rate floorletRate (Rate effectiveFloor) const

Protected Member Functions

Real optionletPrice (Option::Type optionType, Real effStrike) const