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

The man page LognormalCmsSpreadPricer(3) is an alias of QuantLib_LognormalCmsSpreadPricer(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib