Enum BlackIborCouponPricerTimingAdjustment

Namespace

NanoQL.Coupons

Assembly

NanoQL.dll

The timing adjustment a BlackIborCouponPricer applies to the fixing: QuantLib's BlackIborCouponPricer::TimingAdjustment.

public enum BlackIborCouponPricerTimingAdjustment

Fields

BivariateLognormal = 1

The bivariate lognormal adjustment, which also accounts for the payment date.

Black76 = 0

The standard in-arrears adjustment only.

Remarks

References: Black76, Hull, Options, Futures and Other Derivatives, 4th ed., page 550; BivariateLognormal, http://ssrn.com/abstract=2170721. QuantLib has no stream operator for it.