QuantLib_MeanRevertingPricer man page

MeanRevertingPricer —


#include <ql/cashflows/couponpricer.hpp>

Inherited by HaganPricer, and LinearTsrPricer.

Public Member Functions

virtual Real meanReversion () const =0

virtual void setMeanReversion (const Handle< Quote > &)=0

Detailed Description

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes


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Fri Sep 23 2016 Version 1.8.1 QuantLib