AnalyticHaganPricer (3) - Linux Manuals
AnalyticHaganPricer: CMS-coupon pricer.
NAME
QuantLib::AnalyticHaganPricer - CMS-coupon pricer.
SYNOPSIS
#include <ql/cashflows/conundrumpricer.hpp>
Inherits QuantLib::HaganPricer.
Public Member Functions
AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)
Protected Member Functions
Real optionletPrice (Option::Type optionType, Real strike) const
Real swapletPrice () const
Detailed Description
CMS-coupon pricer.
Author
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