QuantLib_AnalyticHaganPricer man page

AnalyticHaganPricer — CMS-coupon pricer.


#include <ql/cashflows/conundrumpricer.hpp>

Inherits HaganPricer.

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

Additional Inherited Members

Detailed Description

CMS-coupon pricer.


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Referenced By

AnalyticHaganPricer(3), optionletPrice(3) and swapletPrice(3) are aliases of QuantLib_AnalyticHaganPricer(3).

QuantLib Version 1.8.1 Fri Sep 23 2016