CMS-coupon pricer. More...
#include <ql/cashflows/conundrumpricer.hpp>
 Inheritance diagram for NumericHaganPricer:
 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 () | 
| Real | stdDeviations () | 
| 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 boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::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 std::set< boost::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 | |
| boost::shared_ptr< YieldTermStructure > | rateCurve_ | 
| GFunctionFactory::YieldCurveModel | modelOfYieldCurve_ | 
| boost::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_ | 
| boost::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