QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ArithmeticAveragedOvernightIndexedCouponPricer Class Reference

#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 &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

Real convAdj1 (Time ts, Time te) const
 
Real convAdj2 (Time ts, Time te) const
 

Protected Attributes

const OvernightIndexedCouponcoupon_
 
bool byApprox_
 
Real mrs_
 
Real vol_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

pricer for arithmetically averaged overnight indexed coupons Reference: Katsumi Takada 2011, Valuation of Arithmetically Average of Fed Funds Rates and Construction of the US Dollar Swap Yield Curve