ConundrumPricer Class Reference

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for ConundrumPricer:

Inheritance graph
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List of all members.

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< YieldTermStructurerateCurve_
GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve_
boost::shared_ptr< GFunction > gFunction_
const CmsCouponcoupon_
Date paymentDate_
Date fixingDate_
Rate swapRateValue_
DiscountFactor discount_
Real annuity_
Real gearing_
Spread spread_
Real spreadLegValue_
Rate cutoffForCaplet_
Rate cutoffForFloorlet_
Handle< QuotemeanReversion_
Period swapTenor_
boost::shared_ptr< VanillaOptionPricer > vanillaOptionPricer_