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

Detailed Description
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
Public Member Functions | |
ConundrumPricerByNumericalIntegration (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::ModelOfYieldCurve 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_ |