CMS-coupon pricer. More...
#include <ql/cashflows/lineartsrpricer.hpp>
 Inheritance diagram for LinearTsrPricer:
 Inheritance diagram for LinearTsrPricer:| Public Member Functions | |
| LinearTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, const Handle< Quote > &meanReversion, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Settings &settings=Settings(), const boost::shared_ptr< Integrator > &integrator=boost::shared_ptr< Integrator >()) | |
| virtual Real | swapletPrice () const | 
| 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 () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
CMS-coupon pricer.
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
The cut off point for integration can be set