C# Class QLNet.BlackIborCouponPricer

Inheritance: IborCouponPricer

显示文件 Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
BlackIborCouponPricer ( ) : System
BlackIborCouponPricer ( Handle v ) : System
capletPrice ( double effectiveCap ) : double
capletRate ( double effectiveCap ) : double
floorletPrice ( double effectiveFloor ) : double
floorletRate ( double effectiveFloor ) : double
initialize ( FloatingRateCoupon coupon ) : void
swapletPrice ( ) : double
swapletRate ( ) : double

Protected Methods

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

Method Details

BlackIborCouponPricer() public method

public BlackIborCouponPricer ( ) : System
return	System

BlackIborCouponPricer() public method

public BlackIborCouponPricer ( Handle v ) : System
v	Handle
return	System

adjustedFixing() protected method

protected adjustedFixing ( ) : double
return	double

adjustedFixing() protected method

protected adjustedFixing ( double fixing_ ) : double
fixing_	double
return	double

capletPrice() public method

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

capletRate() public method

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

floorletPrice() public method

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

floorletRate() public method

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

initialize() public method

public initialize ( FloatingRateCoupon coupon ) : void
coupon	FloatingRateCoupon
return	void

optionletPrice() protected method

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

swapletPrice() public method

public swapletPrice ( ) : double
return	double

swapletRate() public method

public swapletRate ( ) : double
return	double