ConundrumPricer Class Reference
#include <ql/CashFlows/conundrumpricer.hpp>
Inheritance diagram for ConundrumPricer:

Detailed Description
ConundrumPricer.Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article
Public Member Functions | |
Real | price () const |
Real | rate () const |
Protected Member Functions | |
ConundrumPricer (const GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) | |
void | initialize (const CMSCoupon &coupon) |
virtual Real | optionLetPrice (Option::Type optionType, Real strike) const=0 |
virtual Real | swapLetPrice () const=0 |
Protected Attributes | |
boost::shared_ptr< YieldTermStructure > | rateCurve_ |
GFunctionFactory::ModelOfYieldCurve | modelOfYieldCurve_ |
boost::shared_ptr< GFunction > | gFunction_ |
const CMSCoupon * | coupon_ |
Date | paymentDate_ |
Date | fixingDate_ |
Real | swapRateValue_ |
Real | discount_ |
Real | annuity_ |
Real | min_ |
Real | max_ |
Real | gearing_ |
Real | spread_ |
const Real | cutoffForCaplet_ |
const Real | cutoffForFloorlet_ |
Period | swapTenor_ |
boost::shared_ptr< VanillaOptionPricer > | vanillaOptionPricer_ |