#include <ql/experimental/averageois/averageoiscouponpricer.hpp>
Inheritance diagram for ArithmeticAveragedOvernightIndexedCouponPricer:Public Member Functions | |
| ArithmeticAveragedOvernightIndexedCouponPricer (Real meanReversion=0.03, Real volatility=0.00, bool byApprox=false) | |
| void | initialize (const FloatingRateCoupon &coupon) |
| Rate | swapletRate () const |
| Real | swapletPrice () const |
| Real | capletPrice (Rate) const |
| Rate | capletRate (Rate) const |
| Real | floorletPrice (Rate) const |
| Rate | floorletRate (Rate) const |
Public Member Functions inherited from FloatingRateCouponPricer | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| Real | convAdj1 (Time ts, Time te) const |
| Real | convAdj2 (Time ts, Time te) const |
Protected Attributes | |
| const OvernightIndexedCoupon * | coupon_ |
| bool | byApprox_ |
| Real | mrs_ |
| Real | vol_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |