QuantLib_NumericHaganPricer man page

NumericHaganPricer — CMS-coupon pricer.  

Synopsis

#include <ql/cashflows/conundrumpricer.hpp>

Inherits HaganPricer.

Public Member Functions

NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6, Real hardUpperLimit=QL_MAX_REAL)
Real upperLimit ()
Real stdDeviations ()
Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const
virtual Real optionletPrice (Option::Type optionType, Rate strike) const
virtual Real swapletPrice () const
Real resetUpperLimit (Real stdDeviationsForUpperLimit) const
Real refineIntegration (Real integralValue, const ConundrumIntegrand &integrand) const

Public Attributes

Real upperLimit_
Real stdDeviationsForUpperLimit_
const Real lowerLimit_
const Real requiredStdDeviations_
const Real precision_
const Real refiningIntegrationTolerance_
const Real hardUpperLimit_

Additional Inherited Members

Detailed Description

CMS-coupon pricer.

Prices a cms coupon via static replication as in Hagan's 'Conundrums...' article via numerical integration based on prices of vanilla swaptions

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

hardUpperLimit_(3), lowerLimit_(3), NumericHaganPricer(3), precision_(3), refineIntegration(3), refiningIntegrationTolerance_(3), requiredStdDeviations_(3), resetUpperLimit(3), stdDeviations(3), stdDeviationsForUpperLimit_(3), upperLimit(3) and upperLimit_(3) are aliases of QuantLib_NumericHaganPricer(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib