QuantLib_HaganPricer man page

HaganPricer — CMS-coupon pricer.  


#include <ql/cashflows/conundrumpricer.hpp>

Inherits CmsCouponPricer, and MeanRevertingPricer.

Inherited by AnalyticHaganPricer, and NumericHaganPricer.

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

HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel 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< YieldTermStructure > rateCurve_
GFunctionFactory::YieldCurveModel modelOfYieldCurve_
boost::shared_ptr< GFunction > gFunction_
const CmsCoupon * coupon_
Date paymentDate_
Date fixingDate_
Rate swapRateValue_
DiscountFactor discount_
Real annuity_
Real gearing_
Spread spread_
Real spreadLegValue_
Rate cutoffForCaplet_
Rate cutoffForFloorlet_
Handle< Quote > meanReversion_
Period swapTenor_
boost::shared_ptr< VanillaOptionPricer > vanillaOptionPricer_

Additional Inherited Members

Detailed Description

CMS-coupon pricer.

Base class for the pricing of a CMS coupon via static replication as in Hagan's 'Conundrums...' article


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages annuity_(3), cutoffForCaplet_(3), cutoffForFloorlet_(3), gFunction_(3), HaganPricer(3), modelOfYieldCurve_(3), rateCurve_(3), setMeanReversion(3), swapRateValue_(3), swapTenor_(3) and vanillaOptionPricer_(3) are aliases of QuantLib_HaganPricer(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib