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QuantLib_NumericHaganPricer
Langue: en
Version: 381030 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::NumericHaganPricer -CMS-coupon pricer.
SYNOPSIS
#include <ql/cashflows/conundrumpricer.hpp>
Inherits QuantLib::HaganPricer.
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 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 Attributes
Real upperLimit_
Real stdDeviationsForUpperLimit_
const Real lowerLimit_
const Real requiredStdDeviations_
const Real precision_
const Real refiningIntegrationTolerance_
Detailed Description
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
Author
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