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<title>QuantLib: ConundrumPricerByNumericalIntegration 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_by_numerical_integration.html">ConundrumPricerByNumericalIntegration</a></div>
<h1>ConundrumPricerByNumericalIntegration Class Reference</h1><!-- doxytag: class="QuantLib::ConundrumPricerByNumericalIntegration" --><!-- doxytag: inherits="QuantLib::ConundrumPricer" --><code>#include <ql/cashflows/conundrumpricer.hpp></code>
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Inheritance diagram for ConundrumPricerByNumericalIntegration:</div>
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<p><center><img src="class_quant_lib_1_1_conundrum_pricer_by_numerical_integration__inherit__graph.png" border="0" usemap="#_conundrum_pricer_by_numerical_integration__inherit__map" alt="Inheritance graph"></center>
<map name="_conundrum_pricer_by_numerical_integration__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_conundrum_pricer.html" title="CMS-coupon pricer." alt="" coords="81,7,217,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_conundrum_pricer_by_numerical_integration-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
CMS-coupon pricer.
<p>
Prices a cms coupon via static replication as in Hagan's "Conundrums..." article via numerical integration based on prices of vanilla swaptions <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="22eb1f9d9859e92d82a66e20d86736ee"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::ConundrumPricerByNumericalIntegration" ref="22eb1f9d9859e92d82a66e20d86736ee" args="(const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6)" -->
</td><td class="memItemRight" valign="bottom"><b>ConundrumPricerByNumericalIntegration</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, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> lowerLimit=0.0, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> upperLimit=1.0, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> precision=1.0e-6)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7cdd1d241a5b11493d53da7ff3d2b25e"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::upperLimit" ref="7cdd1d241a5b11493d53da7ff3d2b25e" args="()" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upperLimit</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="945986e5f0f5dd049f4d3dbf69fca66e"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::stdDeviations" ref="945986e5f0f5dd049f4d3dbf69fca66e" args="()" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>stdDeviations</b> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c754cefccdf0321db0259e35de724f3a"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::integrate" ref="c754cefccdf0321db0259e35de724f3a" args="(Real a, Real b, const ConundrumIntegrand &Integrand) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>integrate</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, const ConundrumIntegrand &Integrand) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ac92f2768007012121b6a887ba0d5b0b"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::optionletPrice" ref="ac92f2768007012121b6a887ba0d5b0b" args="(Option::Type optionType, Rate strike) const " -->
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#gede435af51236692b1107d7639581d39">Rate</a> strike) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3416b3c7e57041a332be8b73b8ba53a2"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::swapletPrice" ref="3416b3c7e57041a332be8b73b8ba53a2" args="() const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapletPrice</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ab54a87e9967e0e79c53a507e55e7b0"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::resetUpperLimit" ref="5ab54a87e9967e0e79c53a507e55e7b0" args="(Real stdDeviationsForUpperLimit) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>resetUpperLimit</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDeviationsForUpperLimit) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c3e806e30ff60cf075d0a16d1d58aefa"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::refineIntegration" ref="c3e806e30ff60cf075d0a16d1d58aefa" args="(Real integralValue, const ConundrumIntegrand &integrand) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>refineIntegration</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> integralValue, const ConundrumIntegrand &integrand) const </td></tr>
<tr><td colspan="2"><br><h2>Public Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a32a3be9afd8f79a45acd1063377d917"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::upperLimit_" ref="a32a3be9afd8f79a45acd1063377d917" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>upperLimit_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="808d0ab93d60bfded8ddb45bc0a1cd50"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::stdDeviationsForUpperLimit_" ref="808d0ab93d60bfded8ddb45bc0a1cd50" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>stdDeviationsForUpperLimit_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c92827d1cac93a19c18258d02973424a"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::lowerLimit_" ref="c92827d1cac93a19c18258d02973424a" args="" -->
const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lowerLimit_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="37ae41cfed12da87b77ce23f0e9af6ff"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::requiredStdDeviations_" ref="37ae41cfed12da87b77ce23f0e9af6ff" args="" -->
const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredStdDeviations_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7e30a9e36ce4c5904526457fcf06469c"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::precision_" ref="7e30a9e36ce4c5904526457fcf06469c" args="" -->
const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>precision_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c27dbd39bfd877bf5503171cf4f7ed9"></a><!-- doxytag: member="QuantLib::ConundrumPricerByNumericalIntegration::refiningIntegrationTolerance_" ref="7c27dbd39bfd877bf5503171cf4f7ed9" args="" -->
const <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>refiningIntegrationTolerance_</b></td></tr>
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