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

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 |