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

Detailed Description
CMS-coupon pricer.Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article
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 | |
ConundrumPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::ModelOfYieldCurve 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::ModelOfYieldCurve | 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_ |