integrate (3) - Linux Manuals

integrate: CMS-coupon pricer.

NAME

QuantLib::NumericHaganPricer - CMS-coupon pricer.

SYNOPSIS

#include <ql/cashflows/conundrumpricer.hpp>

Inherits QuantLib::HaganPricer.

Public Member Functions

NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6)

Real upperLimit ()

Real stdDeviations ()

Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const

virtual Real optionletPrice (Option::Type optionType, Rate strike) const

virtual Real swapletPrice () const

Real resetUpperLimit (Real stdDeviationsForUpperLimit) const

Real refineIntegration (Real integralValue, const ConundrumIntegrand &integrand) const

Public Attributes

Real upperLimit_

Real stdDeviationsForUpperLimit_

const Real lowerLimit_

const Real requiredStdDeviations_

const Real precision_

const Real refiningIntegrationTolerance_

Detailed Description

CMS-coupon pricer.

Prices a cms coupon via static replication as in Hagan's 'Conundrums...' article via numerical integration based on prices of vanilla swaptions

Author

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