- 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