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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_linear_tsr_pricer.html">LinearTsrPricer</a></li> </ul>
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<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#friends">Friends</a> |
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<div class="title">LinearTsrPricer Class Reference</div> </div>
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<div class="contents">
<p>CMS-coupon pricer.
<a href="class_quant_lib_1_1_linear_tsr_pricer.html#details">More...</a></p>
<p><code>#include <ql/cashflows/lineartsrpricer.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 LinearTsrPricer:</div>
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<map name="_linear_tsr_pricer_inherit__map" id="a_linear_tsr_pricer_inherit__map">
<area shape="rect" title="CMS-coupon pricer." alt="" coords="119,155,227,181"/>
<area shape="rect" href="class_quant_lib_1_1_cms_coupon_pricer.html" title="base pricer for vanilla CMS coupons" alt="" coords="28,80,157,107"/>
<area shape="rect" href="class_quant_lib_1_1_floating_rate_coupon_pricer.html" title="generic pricer for floating-rate coupons" alt="" coords="5,5,180,32"/>
<area shape="rect" href="class_quant_lib_1_1_mean_reverting_pricer.html" title=" " alt="" coords="182,80,326,107"/>
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<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<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:ae207079578b32c5260e9072f29b42e69"><td class="memItemLeft" align="right" valign="top"><a id="ae207079578b32c5260e9072f29b42e69"></a>
 </td><td class="memItemRight" valign="bottom"><b>LinearTsrPricer</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, 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, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &couponDiscountCurve=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >(), const Settings &settings=Settings(), const ext::shared_ptr< Integrator > &integrator=ext::shared_ptr< Integrator >())</td></tr>
<tr class="separator:ae207079578b32c5260e9072f29b42e69"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3e15ee5ff6082a7ac2cfcc3119b2c23e"><td class="memItemLeft" align="right" valign="top"><a id="a3e15ee5ff6082a7ac2cfcc3119b2c23e"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>swapletPrice</b> () const</td></tr>
<tr class="separator:a3e15ee5ff6082a7ac2cfcc3119b2c23e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a89e48b77114f47684ad07b614162d3cc"><td class="memItemLeft" align="right" valign="top"><a id="a89e48b77114f47684ad07b614162d3cc"></a>
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>swapletRate</b> () const</td></tr>
<tr class="separator:a89e48b77114f47684ad07b614162d3cc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa64d7f2bde2b82b0a87913153368d036"><td class="memItemLeft" align="right" valign="top"><a id="aa64d7f2bde2b82b0a87913153368d036"></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</td></tr>
<tr class="separator:aa64d7f2bde2b82b0a87913153368d036"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aef614a0bd4a4b186cfcdd3d3945d02ba"><td class="memItemLeft" align="right" valign="top"><a id="aef614a0bd4a4b186cfcdd3d3945d02ba"></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</td></tr>
<tr class="separator:aef614a0bd4a4b186cfcdd3d3945d02ba"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2800c4b972888cda0f3e0812ffa9a7be"><td class="memItemLeft" align="right" valign="top"><a id="a2800c4b972888cda0f3e0812ffa9a7be"></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</td></tr>
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<tr class="memitem:a45436da332c742eefe6d07eced153317"><td class="memItemLeft" align="right" valign="top"><a id="a45436da332c742eefe6d07eced153317"></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</td></tr>
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<tr class="memitem:ac34bf2a640acc0aaf11a54eddaaaaace"><td class="memItemLeft" align="right" valign="top"><a id="ac34bf2a640acc0aaf11a54eddaaaaace"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>meanReversion</b> () const</td></tr>
<tr class="separator:ac34bf2a640acc0aaf11a54eddaaaaace"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af3746c23762d11af02d2c60d56c16455"><td class="memItemLeft" align="right" valign="top"><a id="af3746c23762d11af02d2c60d56c16455"></a>
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 class="separator:af3746c23762d11af02d2c60d56c16455"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_cms_coupon_pricer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_cms_coupon_pricer.html">CmsCouponPricer</a></td></tr>
<tr class="memitem:a020c99088bd1bc23f839031d9841d2da inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a020c99088bd1bc23f839031d9841d2da"></a>
 </td><td class="memItemRight" valign="bottom"><b>CmsCouponPricer</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> > &v=<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> >())</td></tr>
<tr class="separator:a020c99088bd1bc23f839031d9841d2da inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a581dcce0aec9e4ceee8fb9b1e7896e3b inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a581dcce0aec9e4ceee8fb9b1e7896e3b"></a>
<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> > </td><td class="memItemRight" valign="bottom"><b>swaptionVolatility</b> () const</td></tr>
<tr class="separator:a581dcce0aec9e4ceee8fb9b1e7896e3b inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acc82e5245021859b6ba363e4a12df3df inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><td class="memItemLeft" align="right" valign="top"><a id="acc82e5245021859b6ba363e4a12df3df"></a>
void </td><td class="memItemRight" valign="bottom"><b>setSwaptionVolatility</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> > &v=<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> >())</td></tr>
<tr class="separator:acc82e5245021859b6ba363e4a12df3df inherit pub_methods_class_quant_lib_1_1_cms_coupon_pricer"><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: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>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_floating_rate_coupon_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<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>
<tr class="separator:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<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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<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
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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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<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>
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<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>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="friends"></a>
Friends</h2></td></tr>
<tr class="memitem:aeb363f3becf227b87f2de6b651d6c8b3"><td class="memItemLeft" align="right" valign="top"><a id="aeb363f3becf227b87f2de6b651d6c8b3"></a>
class </td><td class="memItemRight" valign="bottom"><b>integrand_f</b></td></tr>
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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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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>CMS-coupon pricer. </p>
<p>Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference: Andersen, Piterbarg, Interest Rate Modeling, 16.3.2</p>
<p>The cut off point for integration can be set</p><ul>
<li>by explicitly specifying the lower and upper bound</li>
<li>by defining the lower and upper bound to be the strike where a vanilla swaption has 1% or less vega of the atm swaption</li>
<li>by defining the lower and upper bound to be the strike where undeflated (!) payer resp. receiver prices are below a given threshold</li>
<li>by specificying a number of standard deviations to cover using a Black Scholes process with an atm volatility as a benchmark In every case the lower and upper bound are applied though. In case the smile section is shifted lognormal, the specified lower and upper bound are applied to strike + shift so that e.g. a zero lower bound always refers to the lower bound of the rates in the shifted lognormal model. Note that for normal volatility input the lower rate bound is adjusted to min(-upperBound, lowerBound), except the bounds are set explicitly. </li>
</ul>
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