A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/cashflows/couponpricer.hpp>
Inheritance diagram for MeanRevertingPricer:Public Member Functions | |
| virtual Real | meanReversion () const =0 |
| virtual void | setMeanReversion (const Handle< Quote > &)=0 |
(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes
