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 |