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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Mon Apr 30 2018 Version 1.12.1 QuantLib