QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
HaganPricer Class Referenceabstract

CMS-coupon pricer. More...

#include <ql/cashflows/conundrumpricer.hpp>

+ Inheritance diagram for HaganPricer:

Public Member Functions

virtual Real swapletPrice () const =0
 
virtual Rate swapletRate () const
 
virtual Real capletPrice (Rate effectiveCap) const
 
virtual Rate capletRate (Rate effectiveCap) const
 
virtual Real floorletPrice (Rate effectiveFloor) const
 
virtual Rate floorletRate (Rate effectiveFloor) const
 
Real meanReversion () const
 
void setMeanReversion (const Handle< Quote > &meanReversion)
 
- Public Member Functions inherited from CmsCouponPricer
 CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >())
 
Handle< SwaptionVolatilityStructureswaptionVolatility () const
 
void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >())
 
- Public Member Functions inherited from FloatingRateCouponPricer
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

 HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)
 
void initialize (const FloatingRateCoupon &coupon)
 
virtual Real optionletPrice (Option::Type optionType, Real strike) const =0
 

Protected Attributes

ext::shared_ptr< YieldTermStructurerateCurve_
 
GFunctionFactory::YieldCurveModel modelOfYieldCurve_
 
ext::shared_ptr< GFunction > gFunction_
 
const CmsCouponcoupon_
 
Date paymentDate_
 
Date fixingDate_
 
Rate swapRateValue_
 
DiscountFactor discount_
 
Real annuity_
 
Real gearing_
 
Spread spread_
 
Real spreadLegValue_
 
Rate cutoffForCaplet_
 
Rate cutoffForFloorlet_
 
Handle< QuotemeanReversion_
 
Period swapTenor_
 
ext::shared_ptr< VanillaOptionPricer > vanillaOptionPricer_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

CMS-coupon pricer.

Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article