QuantLib_LognormalCmsSpreadPricer man page

LognormalCmsSpreadPricer — CMS spread — coupon pricer.


#include <ql/experimental/coupons/lognormalcmsspreadpricer.hpp>

Inherits CmsSpreadCouponPricer.

Public Member Functions

LognormalCmsSpreadPricer (const boost::shared_ptr< CmsCouponPricer > cmsPricer, const Handle< Quote > &correlation, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Size IntegrationPoints=16, const boost::optional< VolatilityType > volatilityType=boost::none, const Real shift1=Null< Real >(), const Real shift2=Null< Real >())

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

void flushCache ()

Additional Inherited Members

Detailed Description

CMS spread - coupon pricer.

The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility type and shift).

For the bivariate spread model, the volatility type and the shifts can be inherited (default), or explicitly specified. In the latter case the type, and (if lognormal) the shifts must be given (or are defaulted to zero, if not given).


Brigo, Mercurio: Interst Rate Models - Theory and Practice, 2nd Edition, Springer, 2006, chapter 13.6.2



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Referenced By

LognormalCmsSpreadPricer(3) is an alias of QuantLib_LognormalCmsSpreadPricer(3).

QuantLib Version 1.8.1 Fri Sep 23 2016