- QuantLib
- HaganPricer
CMS-coupon pricer. More...
#include <ql/cashflows/conundrumpricer.hpp>

Public Member Functions | |
| virtual Real | swapletPrice () const =0 |
| virtual Rate | swapletRate () const |
| virtual Real | capletPrice (Rate effectiveCap) const |
| virtual Rate | capletRate (Rate effectiveCap) const |
| virtual Real | floorletPrice (Rate effectiveFloor) const |
| virtual Rate | floorletRate (Rate effectiveFloor) const |
| Real | meanReversion () const |
| void | setMeanReversion (const Handle< Quote > &meanReversion) |
Protected Member Functions | |
| HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) | |
| void | initialize (const FloatingRateCoupon &coupon) |
| virtual Real | optionletPrice (Option::Type optionType, Real strike) const =0 |
Protected Attributes | |
|
boost::shared_ptr < YieldTermStructure > | rateCurve_ |
| GFunctionFactory::YieldCurveModel | modelOfYieldCurve_ |
| boost::shared_ptr< GFunction > | gFunction_ |
| const CmsCoupon * | coupon_ |
| Date | paymentDate_ |
| Date | fixingDate_ |
| Rate | swapRateValue_ |
| DiscountFactor | discount_ |
| Real | annuity_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | spreadLegValue_ |
| Rate | cutoffForCaplet_ |
| Rate | cutoffForFloorlet_ |
| Handle< Quote > | meanReversion_ |
| Period | swapTenor_ |
|
boost::shared_ptr < VanillaOptionPricer > | vanillaOptionPricer_ |
CMS-coupon pricer.
Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article