C# Class QLNet.FloatingRateCouponPricer

generic pricer for floating-rate coupons

Inheritance: QLNet.Patterns.DefaultObservable, IObserver

Datei anzeigen Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
capletPrice ( double effectiveCap ) : double
capletRate ( double effectiveCap ) : double
floorletPrice ( double effectiveFloor ) : double
floorletRate ( double effectiveFloor ) : double
initialize ( QLNet.FloatingRateCoupon coupon ) : void
swapletPrice ( ) : double
swapletRate ( ) : double
update ( ) : void

Protected Methods

Method	Description
optionletPrice ( Option optionType, double effStrike ) : double

Method Details

capletPrice() public abstract method

public abstract capletPrice ( double effectiveCap ) : double
effectiveCap	double
return	double

capletRate() public abstract method

public abstract capletRate ( double effectiveCap ) : double
effectiveCap	double
return	double

floorletPrice() public abstract method

public abstract floorletPrice ( double effectiveFloor ) : double
effectiveFloor	double
return	double

floorletRate() public abstract method

public abstract floorletRate ( double effectiveFloor ) : double
effectiveFloor	double
return	double

initialize() public abstract method

public abstract initialize ( QLNet.FloatingRateCoupon coupon ) : void
coupon	QLNet.FloatingRateCoupon
return	void

optionletPrice() protected abstract method

protected abstract optionletPrice ( Option optionType, double effStrike ) : double
optionType	Option
effStrike	double
return	double

swapletPrice() public abstract method

public abstract swapletPrice ( ) : double
return	double

swapletRate() public abstract method

public abstract swapletRate ( ) : double
return	double

update() public method

public update ( ) : void
return	void