BlackIborCouponPricer

Black-formula pricer for capped/floored Ibor coupons

References for timing adjustments

Black76

Hull, Options, Futures and other derivatives, 4th ed., page 550

BivariateLognormal http://ssrn.com/abstract=2170721

The bivariate lognormal adjustment implementation is still considered experimental

Hierarchy

IborCouponPricer
- BlackIborCouponPricer
  - BlackIborQuantoCouponPricer

Implements

Index

Enumerations

TimingAdjustment

Constructors

constructor

Methods

Constructors

constructor

new BlackIborCouponPricer(v?: Handle<OptionletVolatilityStructure>, timingAdjustment?: TimingAdjustment, correlation?: Handle<Quote>): BlackIborCouponPricer

Overrides IborCouponPricer.constructor
- Defined in ql/cashflows/couponpricer.ts:91
Parameters
- Default value v: Handle<OptionletVolatilityStructure> = new Handle()
- Default value timingAdjustment: TimingAdjustment = BlackIborCouponPricer.TimingAdjustment.Black76
- Default value correlation: Handle<Quote> = new Handle(new SimpleQuote(1.0))
Returns BlackIborCouponPricer

Properties

Protected _accrualPeriod

_accrualPeriod: Time

Private _correlation

_correlation: Handle<Quote>

Protected _coupon

_coupon: FloatingRateCoupon

Protected _discount

_discount: Real

Protected _gearing

_gearing: Real

Protected _index

_index: IborIndex

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

Private _timingAdjustment

_timingAdjustment: TimingAdjustment

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

Protected adjustedFixing

adjustedFixing(fixing?: Rate): Rate

- Defined in ql/cashflows/couponpricer.ts:217
Parameters
- Default value fixing: Rate = QL_NULL_REAL
Returns Rate

capletPrice

capletPrice(effectiveCap: Rate): Real

Overrides FloatingRateCouponPricer.capletPrice
- Defined in ql/cashflows/couponpricer.ts:160
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Overrides FloatingRateCouponPricer.capletRate
- Defined in ql/cashflows/couponpricer.ts:166
Parameters
- effectiveCap: Rate
Returns Rate

capletVolatility

capletVolatility(): Handle<OptionletVolatilityStructure>

Inherited from IborCouponPricer.capletVolatility
- Defined in ql/cashflows/couponpricer.ts:63
Returns Handle<OptionletVolatilityStructure>

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Overrides FloatingRateCouponPricer.floorletPrice
- Defined in ql/cashflows/couponpricer.ts:171
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Overrides FloatingRateCouponPricer.floorletRate
- Defined in ql/cashflows/couponpricer.ts:177
Parameters
- effectiveFloor: Rate
Returns Rate

initialize

initialize(coupon: FloatingRateCoupon): void

Overrides FloatingRateCouponPricer.initialize
- Defined in ql/cashflows/couponpricer.ts:110
Parameters
- coupon: FloatingRateCoupon
Returns void

Protected optionletPrice

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

- Defined in ql/cashflows/couponpricer.ts:182
Parameters
- optionType: Type
- effStrike: Real
Returns Real

setCapletVolatility

setCapletVolatility(v?: Handle<OptionletVolatilityStructure>): void

Inherited from IborCouponPricer.setCapletVolatility
- Defined in ql/cashflows/couponpricer.ts:67
Parameters
- Default value v: Handle<OptionletVolatilityStructure> = new Handle()
Returns void

swapletPrice

swapletPrice(): Real

Overrides FloatingRateCouponPricer.swapletPrice
- Defined in ql/cashflows/couponpricer.ts:148
Returns Real

swapletRate

swapletRate(): Rate

Overrides FloatingRateCouponPricer.swapletRate
- Defined in ql/cashflows/couponpricer.ts:156
Returns Rate

update

update(): void

Inherited from OvernightIndexedCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/couponpricer.ts:49
Returns void

Hierarchy

Implements

Index

Enumerations

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value v: Handle<OptionletVolatilityStructure> = new Handle()

Default value timingAdjustment: TimingAdjustment = BlackIborCouponPricer.TimingAdjustment.Black76

Default value correlation: Handle<Quote> = new Handle(new SimpleQuote(1.0))

Returns BlackIborCouponPricer

Properties

Protected _accrualPeriod

Private _correlation

Protected _coupon

Protected _discount

Protected _gearing

Protected _index

_isDisposed

_observables

_observers

Protected _spread

Protected _spreadLegValue

Private _timingAdjustment

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

Protected adjustedFixing

Parameters

Default value fixing: Rate = QL_NULL_REAL

Returns Rate

capletPrice

Parameters

effectiveCap: Rate

Returns Real

capletRate

Parameters

effectiveCap: Rate

Returns Rate

capletVolatility

Returns Handle<OptionletVolatilityStructure>

deepUpdate

Returns void

floorletPrice