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<title>QuantLib: CmsSpreadCouponPricer Class Reference</title>
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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_cms_spread_coupon_pricer.html">CmsSpreadCouponPricer</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">CmsSpreadCouponPricer Class Reference</div> </div>
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<p>base pricer for vanilla CMS spread coupons
<a href="class_quant_lib_1_1_cms_spread_coupon_pricer.html#details">More...</a></p>
<p><code>#include <ql/experimental/coupons/cmsspreadcoupon.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for CmsSpreadCouponPricer:</div>
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<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_cms_spread_coupon_pricer__inherit__graph.png" border="0" usemap="#a_cms_spread_coupon_pricer_inherit__map" alt="Inheritance graph"/></div>
<map name="_cms_spread_coupon_pricer_inherit__map" id="a_cms_spread_coupon_pricer_inherit__map">
<area shape="rect" title="base pricer for vanilla CMS spread coupons" alt="" coords="13,155,183,181"/>
<area shape="rect" href="class_quant_lib_1_1_lognormal_cms_spread_pricer.html" title="CMS spread - coupon pricer." alt="" coords="5,229,191,256"/>
<area shape="rect" href="class_quant_lib_1_1_floating_rate_coupon_pricer.html" title="generic pricer for floating-rate coupons" alt="" coords="11,80,185,107"/>
<area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="9,5,83,32"/>
<area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="107,5,195,32"/>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a2bc3fa4f86f253ffe5a6ab3be33a9e2e"><td class="memItemLeft" align="right" valign="top"><a id="a2bc3fa4f86f253ffe5a6ab3be33a9e2e"></a>
 </td><td class="memItemRight" valign="bottom"><b>CmsSpreadCouponPricer</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> > &correlation=<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></tr>
<tr class="separator:a2bc3fa4f86f253ffe5a6ab3be33a9e2e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a20a25e1dba2d713d33076bd389101a13"><td class="memItemLeft" align="right" valign="top"><a id="a20a25e1dba2d713d33076bd389101a13"></a>
<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>correlation</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>setCorrelation</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> > &correlation=<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></tr>
<tr class="separator:a3a5387754b1b0bea05020d63f9ca53c4"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_floating_rate_coupon_pricer.html">FloatingRateCouponPricer</a></td></tr>
<tr class="memitem:a2af0079d7951f0a9d60eb08ea1b8a328 inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a2af0079d7951f0a9d60eb08ea1b8a328"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapletPrice</b> () const =0</td></tr>
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<tr class="memitem:a4100ee30f35fdcdb0fce21a1a151ddfb inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a4100ee30f35fdcdb0fce21a1a151ddfb"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>swapletRate</b> () const =0</td></tr>
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<tr class="memitem:a020cea32bd7e04f0fe1cfdf6dc146423 inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a020cea32bd7e04f0fe1cfdf6dc146423"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>capletPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const =0</td></tr>
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<tr class="memitem:a1e4c2e805a4460558a9f77740d309cad inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a1e4c2e805a4460558a9f77740d309cad"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>capletRate</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveCap) const =0</td></tr>
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<tr class="memitem:a1a4fed13ca15b398ac2b09c1c58d387d inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a1a4fed13ca15b398ac2b09c1c58d387d"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floorletPrice</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const =0</td></tr>
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<tr class="memitem:a214779867426164db11377dadc63d672 inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a214779867426164db11377dadc63d672"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>floorletRate</b> (<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> effectiveFloor) const =0</td></tr>
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virtual 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)=0</td></tr>
<tr class="separator:a67e3aa825e7a48e9ee9d33e36b1cfdbd inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_floating_rate_coupon_pricer.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
<tr class="separator:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
<tr class="separator:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>base pricer for vanilla CMS spread coupons </p>
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