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<title>QuantLib: ConundrumPricer Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_conundrum_pricer.html">ConundrumPricer</a></div>
<h1>ConundrumPricer Class Reference</h1><!-- doxytag: class="QuantLib::ConundrumPricer" --><!-- doxytag: inherits="QuantLib::CmsCouponPricer" --><code>#include <ql/cashflows/conundrumpricer.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for ConundrumPricer:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_conundrum_pricer__inherit__graph.png" border="0" usemap="#_conundrum_pricer__inherit__map" alt="Inheritance graph"></center>
<map name="_conundrum_pricer__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_conundrum_pricer_by_black.html" title="CMS-coupon pricer." alt="" coords="5,161,192,188"><area shape="rect" href="class_quant_lib_1_1_conundrum_pricer_by_numerical_integration.html" title="CMS-coupon pricer." alt="" coords="216,161,504,188"><area shape="rect" href="class_quant_lib_1_1_cms_coupon_pricer.html" title="base pricer for vanilla CMS coupons" alt="" coords="160,7,299,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_conundrum_pricer-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
CMS-coupon pricer.
<p>
Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2af0079d7951f0a9d60eb08ea1b8a328"></a><!-- doxytag: member="QuantLib::ConundrumPricer::swapletPrice" ref="2af0079d7951f0a9d60eb08ea1b8a328" args="() const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapletPrice</b> () const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6b1f49bd6af811c09ef3c3c9fc6966ec"></a><!-- doxytag: member="QuantLib::ConundrumPricer::swapletRate" ref="6b1f49bd6af811c09ef3c3c9fc6966ec" args="() const " -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>swapletRate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d67dc18a514164cf8613c26cdea77f43"></a><!-- doxytag: member="QuantLib::ConundrumPricer::capletPrice" ref="d67dc18a514164cf8613c26cdea77f43" args="(Rate effectiveCap) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>capletPrice</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2f09b29df80f1269a4e1b51e95b1cd87"></a><!-- doxytag: member="QuantLib::ConundrumPricer::capletRate" ref="2f09b29df80f1269a4e1b51e95b1cd87" args="(Rate effectiveCap) const " -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>capletRate</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d9799bfd308c5a452100d5fbd029d05e"></a><!-- doxytag: member="QuantLib::ConundrumPricer::floorletPrice" ref="d9799bfd308c5a452100d5fbd029d05e" args="(Rate effectiveFloor) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floorletPrice</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c6b87a9344019ccd085c71b0d78ee648"></a><!-- doxytag: member="QuantLib::ConundrumPricer::floorletRate" ref="c6b87a9344019ccd085c71b0d78ee648" args="(Rate effectiveFloor) const " -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>floorletRate</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c89093abfeb25762659fbc97a854ec3"></a><!-- doxytag: member="QuantLib::ConundrumPricer::meanReversion" ref="7c89093abfeb25762659fbc97a854ec3" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>meanReversion</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3746c23762d11af02d2c60d56c16455"></a><!-- doxytag: member="QuantLib::ConundrumPricer::setMeanReversion" ref="f3746c23762d11af02d2c60d56c16455" args="(const Handle< Quote > &meanReversion)" -->
void </td><td class="memItemRight" valign="bottom"><b>setMeanReversion</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &meanReversion)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="24bf1252e1d032c541eafca89c3ae973"></a><!-- doxytag: member="QuantLib::ConundrumPricer::ConundrumPricer" ref="24bf1252e1d032c541eafca89c3ae973" args="(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, const Handle< Quote > &meanReversion)" -->
</td><td class="memItemRight" valign="bottom"><b>ConundrumPricer</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html">SwaptionVolatilityStructure</a> > &swaptionVol, GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &meanReversion)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="886033c6497a874cf75f449632553464"></a><!-- doxytag: member="QuantLib::ConundrumPricer::initialize" ref="886033c6497a874cf75f449632553464" args="(const FloatingRateCoupon &coupon)" -->
void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (const <a class="el" href="class_quant_lib_1_1_floating_rate_coupon.html">FloatingRateCoupon</a> &coupon)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44f8103051603e71b2588646300e229b"></a><!-- doxytag: member="QuantLib::ConundrumPricer::optionletPrice" ref="44f8103051603e71b2588646300e229b" args="(Option::Type optionType, Real strike) const =0" -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>optionletPrice</b> (Option::Type optionType, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const =0</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2489a4ca930289cf4cb8a23eafe8a405"></a><!-- doxytag: member="QuantLib::ConundrumPricer::rateCurve_" ref="2489a4ca930289cf4cb8a23eafe8a405" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>rateCurve_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d0ca01083a785875ad0d2bc7407af2c"></a><!-- doxytag: member="QuantLib::ConundrumPricer::modelOfYieldCurve_" ref="0d0ca01083a785875ad0d2bc7407af2c" args="" -->
GFunctionFactory::ModelOfYieldCurve </td><td class="memItemRight" valign="bottom"><b>modelOfYieldCurve_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50237f14e921f304a0598d1475f5e327"></a><!-- doxytag: member="QuantLib::ConundrumPricer::gFunction_" ref="50237f14e921f304a0598d1475f5e327" args="" -->
boost::shared_ptr< GFunction > </td><td class="memItemRight" valign="bottom"><b>gFunction_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0c4cd7722099ab00888e4885b7547ad5"></a><!-- doxytag: member="QuantLib::ConundrumPricer::coupon_" ref="0c4cd7722099ab00888e4885b7547ad5" args="" -->
const <a class="el" href="class_quant_lib_1_1_cms_coupon.html">CmsCoupon</a> * </td><td class="memItemRight" valign="bottom"><b>coupon_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="292ad9c54719780e61282ddeeac02410"></a><!-- doxytag: member="QuantLib::ConundrumPricer::paymentDate_" ref="292ad9c54719780e61282ddeeac02410" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>paymentDate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0f3d454856e688ed07ac415619cd9fda"></a><!-- doxytag: member="QuantLib::ConundrumPricer::fixingDate_" ref="0f3d454856e688ed07ac415619cd9fda" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>fixingDate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="189d3870df8769434064046f8d25dabc"></a><!-- doxytag: member="QuantLib::ConundrumPricer::swapRateValue_" ref="189d3870df8769434064046f8d25dabc" args="" -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>swapRateValue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="03a7940acbfe70e2d64da8e1692e20b3"></a><!-- doxytag: member="QuantLib::ConundrumPricer::discount_" ref="03a7940acbfe70e2d64da8e1692e20b3" args="" -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>discount_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="485736735f59084da0315ef8b2832704"></a><!-- doxytag: member="QuantLib::ConundrumPricer::annuity_" ref="485736735f59084da0315ef8b2832704" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>annuity_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c49985ed0b7d726bb87fe57577cd6d3d"></a><!-- doxytag: member="QuantLib::ConundrumPricer::gearing_" ref="c49985ed0b7d726bb87fe57577cd6d3d" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>gearing_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a6db15cb8f4db71dbdd282eb1a4a9bcd"></a><!-- doxytag: member="QuantLib::ConundrumPricer::spread_" ref="a6db15cb8f4db71dbdd282eb1a4a9bcd" args="" -->
<a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>spread_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="13e8e0bbdf635458d4b3b32fc3d2a817"></a><!-- doxytag: member="QuantLib::ConundrumPricer::spreadLegValue_" ref="13e8e0bbdf635458d4b3b32fc3d2a817" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>spreadLegValue_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="126d69c00fd6d2c8cad49c881dfdf86c"></a><!-- doxytag: member="QuantLib::ConundrumPricer::cutoffForCaplet_" ref="126d69c00fd6d2c8cad49c881dfdf86c" args="" -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cutoffForCaplet_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cac399d82d0d0c2f08c5f6496e3a95f3"></a><!-- doxytag: member="QuantLib::ConundrumPricer::cutoffForFloorlet_" ref="cac399d82d0d0c2f08c5f6496e3a95f3" args="" -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>cutoffForFloorlet_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2b50f8924eff549cb145d2ced86b9749"></a><!-- doxytag: member="QuantLib::ConundrumPricer::meanReversion_" ref="2b50f8924eff549cb145d2ced86b9749" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > </td><td class="memItemRight" valign="bottom"><b>meanReversion_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="018a0d461762dbeef33e4838d7fb56c1"></a><!-- doxytag: member="QuantLib::ConundrumPricer::swapTenor_" ref="018a0d461762dbeef33e4838d7fb56c1" args="" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>swapTenor_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1b4a5fbdbcb740b55b7efa2bb2ee8213"></a><!-- doxytag: member="QuantLib::ConundrumPricer::vanillaOptionPricer_" ref="1b4a5fbdbcb740b55b7efa2bb2ee8213" args="" -->
boost::shared_ptr<br>
< VanillaOptionPricer > </td><td class="memItemRight" valign="bottom"><b>vanillaOptionPricer_</b></td></tr>
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