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
|
CMS-coupon pricer. More...
#include <ql/cashflows/conundrumpricer.hpp>
Inheritance diagram for NumericHaganPricer: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 () const |
| Real | stdDeviations () const |
| 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 Member Functions inherited from HaganPricer | |
| 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 () |
Public Attributes | |
| Real | upperLimit_ |
| Real | stdDeviationsForUpperLimit_ |
| const Real | lowerLimit_ |
| const Real | requiredStdDeviations_ |
| const Real | precision_ |
| const Real | refiningIntegrationTolerance_ |
| const Real | hardUpperLimit_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from HaganPricer | |
| HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion) | |
| void | initialize (const FloatingRateCoupon &coupon) |
| Protected Attributes inherited from HaganPricer | |
| ext::shared_ptr< YieldTermStructure > | rateCurve_ |
| GFunctionFactory::YieldCurveModel | modelOfYieldCurve_ |
| ext::shared_ptr< GFunction > | gFunction_ |
| const CmsCoupon * | coupon_ |
| Date | paymentDate_ |
| Date | fixingDate_ |
| Rate | swapRateValue_ |
| DiscountFactor | discount_ |
| Real | annuity_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | spreadLegValue_ |
| Rate | cutoffForCaplet_ |
| Rate | cutoffForFloorlet_ |
| Handle< Quote > | meanReversion_ |
| Period | swapTenor_ |
| ext::shared_ptr< VanillaOptionPricer > | vanillaOptionPricer_ |
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
