QuantLib_LinearTsrPricer man page

LinearTsrPricer — CMS-coupon pricer.  

Synopsis

#include <ql/cashflows/lineartsrpricer.hpp>

Inherits CmsCouponPricer, and MeanRevertingPricer.

Public Member Functions

LinearTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, const Handle< Quote > &meanReversion, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Settings &settings=Settings(), const boost::shared_ptr< Integrator > &integrator=boost::shared_ptr< Integrator >())
virtual Real swapletPrice () const
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)

Additional Inherited Members

Detailed Description

CMS-coupon pricer.

Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2

The cut off point for integration can be set

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page LinearTsrPricer(3) is an alias of QuantLib_LinearTsrPricer(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib