meanReversion (3) - Linux Manuals

meanReversion: CMS-coupon pricer.

NAME

QuantLib::HaganPricer - CMS-coupon pricer.

SYNOPSIS

#include <ql/cashflows/conundrumpricer.hpp>

Inherits QuantLib::CmsCouponPricer.

Inherited by AnalyticHaganPricer, and NumericHaganPricer.

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_

Detailed Description

CMS-coupon pricer.

Base class for the pricing of a CMS coupon via static replication as in Hagan's 'Conundrums...' article

Author

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