- QuantLib
- NumericHaganPricer
 
CMS-coupon pricer. More...
#include <ql/cashflows/conundrumpricer.hpp>

| 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_ | 
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