BlackIborCouponPricer Class Reference
#include <ql/cashflows/couponpricer.hpp>
Inheritance diagram for BlackIborCouponPricer:

Detailed Description
Black-formula pricer for capped/floored Ibor coupons.Public Member Functions | |
BlackIborCouponPricer (const Handle< OptionletVolatilityStructure > &capletVol=Handle< OptionletVolatilityStructure >()) | |
virtual 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 |