capletvolatility(3)

QuantLib::IborCouponPricer – base pricer for capped/floored Ibor coupons

Synopsis

#include <ql/cashflows/couponpricer.hpp>

Inherits QuantLib::FloatingRateCouponPricer.

Inherited by BlackIborCouponPricer.

Public Member Functions

IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())

Handle< OptionletVolatilityStructure > capletVolatility () const

void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >())

Detailed Description

base pricer for capped/floored Ibor coupons

Author

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