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

Fri Sep 23 2016 Version 1.8.1 QuantLib