CMS-coupon pricer. More...
#include <ql/cashflows/lineartsrpricer.hpp>
Inheritance diagram for LinearTsrPricer:Public Member Functions | |
| LinearTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, const Handle< Quote > &meanReversion, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Settings &settings=Settings(), const ext::shared_ptr< Integrator > &integrator=ext::shared_ptr< Integrator >()) | |
| virtual Real | swapletPrice () const |
| 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) |
Public Member Functions inherited from CmsCouponPricer | |
| CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) | |
| Handle< SwaptionVolatilityStructure > | swaptionVolatility () const |
| void | setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) |
Public Member Functions inherited from FloatingRateCouponPricer | |
| void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Friends | |
| class | integrand_f |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
CMS-coupon pricer.
Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2
The cut off point for integration can be set