QuantLib_MeanRevertingPricer man page

MeanRevertingPricer

Synopsis

#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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Info

Wed Aug 2 2017 Version 1.10 QuantLib