LinearTsrPricer Class Reference

CMS-coupon pricer. More...

#include <ql/cashflows/lineartsrpricer.hpp>

Inheritance diagram for LinearTsrPricer:

Public Member Functions
	LinearTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, const Handle< Quote > &meanReversion, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Settings &settings=Settings(), const ext::shared_ptr< Integrator > &integrator=ext::shared_ptr< Integrator >())
virtual Real	swapletPrice () const
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< SwaptionVolatilityStructure >	swaptionVolatility () 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 &)
Observer &	operator= (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 &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Friends
class	integrand_f

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.

Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2

The cut off point for integration can be set

• by explicitly specifying the lower and upper bound
• by defining the lower and upper bound to be the strike where a vanilla swaption has 1% or less vega of the atm swaption
• by defining the lower and upper bound to be the strike where undeflated (!) payer resp. receiver prices are below a given threshold
• by specificying a number of standard deviations to cover using a Black Scholes process with an atm volatility as a benchmark In every case the lower and upper bound are applied though. In case the smile section is shifted lognormal, the specified lower and upper bound are applied to strike + shift so that e.g. a zero lower bound always refers to the lower bound of the rates in the shifted lognormal model. Note that for normal volatility input the lower rate bound is adjusted to min(-upperBound, lowerBound), except the bounds are set explicitly.