#include <ql/experimental/averageois/averageoiscouponpricer.hpp>
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 |
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void | update () |
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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 () |
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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 | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |