ConundrumPricerByBlack Class Reference

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for ConundrumPricerByBlack:

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List of all members.

Detailed Description

CMS-coupon pricer.


Public Member Functions

 ConundrumPricerByBlack (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, const Handle< Quote > &meanReversion)

Protected Member Functions

Real optionletPrice (Option::Type optionType, Real strike) const
Real swapletPrice () const