# 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

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by explicitly specifying the lower and upper bound

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by defining the lower and upper bound to be the strike where a vanilla swaption has 1% or less vega of the atm swaption

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by defining the lower and upper bound to be the strike where undeflated (!) payer resp. receiver prices are below a given threshold

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by specificying a number of standard deviations to cover using a Black Scholes process with an atm volatility as a benchmark In every case the lower and upper bound are applied though. In case the smile section is shifted lognormal, the specified lower and upper bound are applied to strike + shift so that e.g. a zero lower bound always refers to the lower bound of the rates in the shifted lognormal model. Note that for normal volatility input the lower rate bound should probably be adjusted to an appropriate negative value, there is no automatic adjustment in this case.

## Author

Generated automatically by Doxygen for QuantLib from the source code.

## Referenced By

LinearTsrPricer(3) is an alias of QuantLib_LinearTsrPricer(3).