ConundrumPricerByNumericalIntegration Class Reference

#include <ql/CashFlows/conundrumpricer.hpp>

Inheritance diagram for ConundrumPricerByNumericalIntegration:

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Detailed Description

ConundrumPricerByNumericalIntegration.

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


Public Member Functions

 ConundrumPricerByNumericalIntegration (const GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve=GFunctionFactory::standard, Real lowerLimit=0.0, Real upperLimit=1.0)