AnalyticHaganPricer Class Reference

CMS-coupon pricer. More...

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for AnalyticHaganPricer:

List of all members.

Public Member Functions

 AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)

Protected Member Functions

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


Detailed Description

CMS-coupon pricer.