QuantLib_LinearTsrPricer man page

LinearTsrPricer — CMS-coupon pricer.  


#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


by explicitly specifying the lower and upper bound


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


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


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.


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Referenced By

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

Fri Feb 10 2017 Version 1.9.1 QuantLib