org.jquantlib.cashflow

Class BlackIborCouponPricer

java.lang.Object

org.jquantlib.cashflow.FloatingRateCouponPricer

org.jquantlib.cashflow.IborCouponPricer

org.jquantlib.cashflow.BlackIborCouponPricer

All Implemented Interfaces:

Observable, Observer

public class BlackIborCouponPricer
extends IborCouponPricer

Field Summary

Fields inherited from class org.jquantlib.cashflow.IborCouponPricer

no_adequate_capletVol_given

Constructor Summary

Constructors

Constructor and Description
BlackIborCouponPricer(Handle<OptionletVolatilityStructure> capletVol)

Method Summary

Modifier and Type	Method and Description
double	adjustedFixing()
double	capletPrice(double effectiveCap)
double	capletRate(double effectiveCap)
double	floorletPrice(double effectiveFloor)
double	floorletRate(double effectiveFloor)
void	initialize(FloatingRateCoupon coupon)
double	optionletPrice(Option.Type optionType, double effStrike)
double	swapletPrice()
double	swapletRate()

Methods inherited from class org.jquantlib.cashflow.IborCouponPricer

capletVolatility, setCapletVolatility, update

Methods inherited from class org.jquantlib.cashflow.FloatingRateCouponPricer

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackIborCouponPricer

public BlackIborCouponPricer(Handle<OptionletVolatilityStructure> capletVol)

Method Detail

initialize

public void initialize(FloatingRateCoupon coupon)

Specified by:

initialize in class FloatingRateCouponPricer

swapletPrice

public double swapletPrice()

Specified by:

swapletPrice in class FloatingRateCouponPricer

swapletRate

public double swapletRate()

Specified by:

swapletRate in class FloatingRateCouponPricer

capletPrice

public double capletPrice(double effectiveCap)

Specified by:

capletPrice in class FloatingRateCouponPricer

capletRate

public double capletRate(double effectiveCap)

Specified by:

capletRate in class FloatingRateCouponPricer

floorletPrice

public double floorletPrice(double effectiveFloor)

Specified by:

floorletPrice in class FloatingRateCouponPricer

floorletRate

public double floorletRate(double effectiveFloor)

Specified by:

floorletRate in class FloatingRateCouponPricer

optionletPrice

public double optionletPrice(Option.Type optionType,
                             double effStrike)

adjustedFixing

public double adjustedFixing()