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"ql/cashflows/couponpricer"
IborCouponPricer
Class IborCouponPricer
base pricer for capped/floored Ibor coupons
Hierarchy
FloatingRateCouponPricer
IborCouponPricer
BlackIborCouponPricer
Implements
Observer
Observable
Index
Constructors
constructor
Properties
_caplet
Vol
_is
Disposed
_observables
_observers
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
Methods
caplet
Price
caplet
Rate
caplet
Volatility
deep
Update
floorlet
Price
floorlet
Rate
initialize
set
Caplet
Volatility
swaplet
Price
swaplet
Rate
update
Constructors
constructor
new
Ibor
Coupon
Pricer
(
v
?:
Handle
<
OptionletVolatilityStructure
>
)
:
IborCouponPricer
Parameters
Default value
v:
Handle
<
OptionletVolatilityStructure
>
= new Handle()
Returns
IborCouponPricer
Properties
Private
_caplet
Vol
_caplet
Vol
:
Handle
<
OptionletVolatilityStructure
>
_is
Disposed
_is
Disposed
:
boolean
= false
_observables
_observables
:
Set
<
Observable
>
= new Set()
_observers
_observers
:
Set
<
Observer
>
= new Set()
dispose
dispose
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
is
Disposed
is
Disposed
:
boolean
notify
Observers
notify
Observers
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
register
Observer
register
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
register
With
register
With
:
(
h
:
Observable
)
=>
void
Type declaration
(
h
:
Observable
)
:
void
Parameters
h:
Observable
Returns
void
register
With
Observables
register
With
Observables
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
Observer
unregister
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
With
unregister
With
:
(
h
:
Observable
)
=>
Size
Type declaration
(
h
:
Observable
)
:
Size
Parameters
h:
Observable
Returns
Size
unregister
With
All
unregister
With
All
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
Methods
caplet
Price
caplet
Price
(
effectiveCap
:
Rate
)
:
Real
Parameters
effectiveCap:
Rate
Returns
Real
caplet
Rate
caplet
Rate
(
effectiveCap
:
Rate
)
:
Rate
Parameters
effectiveCap:
Rate
Returns
Rate
caplet
Volatility
caplet
Volatility
(
)
:
Handle
<
OptionletVolatilityStructure
>
Returns
Handle
<
OptionletVolatilityStructure
>
deep
Update
deep
Update
(
)
:
void
Returns
void
floorlet
Price
floorlet
Price
(
effectiveFloor
:
Rate
)
:
Real
Parameters
effectiveFloor:
Rate
Returns
Real
floorlet
Rate
floorlet
Rate
(
effectiveFloor
:
Rate
)
:
Rate
Parameters
effectiveFloor:
Rate
Returns
Rate
initialize
initialize
(
coupon
:
FloatingRateCoupon
)
:
void
Parameters
coupon:
FloatingRateCoupon
Returns
void
set
Caplet
Volatility
set
Caplet
Volatility
(
v
?:
Handle
<
OptionletVolatilityStructure
>
)
:
void
Parameters
Default value
v:
Handle
<
OptionletVolatilityStructure
>
= new Handle()
Returns
void
swaplet
Price
swaplet
Price
(
)
:
Real
Returns
Real
swaplet
Rate
swaplet
Rate
(
)
:
Rate
Returns
Rate
update
update
(
)
:
void
Returns
void
Globals
"ql/cashflows/couponpricer"
Black
Ibor
Coupon
Pricer
Cms
Coupon
Pricer
Floating
Rate
Coupon
Pricer
Ibor
Coupon
Pricer
constructor
_caplet
Vol
_is
Disposed
_observables
_observers
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
caplet
Price
caplet
Rate
caplet
Volatility
deep
Update
floorlet
Price
floorlet
Rate
initialize
set
Caplet
Volatility
swaplet
Price
swaplet
Rate
update
Mean
Reverting
Pricer
Pricer
Setter
set
Coupon
Pricer
set
Coupon
Pricers1
set
Coupon
Pricers2
set
Coupon
Pricers3
set
Coupon
Pricers4
set
Coupon
Pricers
First
Matching
base pricer for capped/floored Ibor coupons