QuantLib_NumericHaganPricer man page

NumericHaganPricer — CMS-coupon pricer.  


#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


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Referenced By

The man pages 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).

Wed Feb 7 2018 Version 1.10.1 QuantLib