AnalyticHaganPricer Class Reference

CMS-coupon pricer. More...

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for AnalyticHaganPricer:

Public Member Functions
	AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)
Public Member Functions inherited from HaganPricer
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override
Real	meanReversion () const override
void	setMeanReversion (const Handle< Quote > &meanReversion) override
Public Member Functions inherited from CmsCouponPricer
	CmsCouponPricer (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 () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Protected Member Functions
Real	optionletPrice (Option::Type optionType, Real strike) const override
Real	swapletPrice () const override
Protected Member Functions inherited from HaganPricer
	HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, Handle< Quote > meanReversion)
void	initialize (const FloatingRateCoupon &coupon) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from HaganPricer
ext::shared_ptr< YieldTermStructure >	rateCurve_
GFunctionFactory::YieldCurveModel	modelOfYieldCurve_
ext::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_ = 2
Rate	cutoffForFloorlet_ = 0
Handle< Quote >	meanReversion_
Period	swapTenor_
ext::shared_ptr< VanillaOptionPricer >	vanillaOptionPricer_

Detailed Description

CMS-coupon pricer.

Member Function Documentation

optionletPrice()

Real optionletPrice ( Option::Type optionType, Real strike ) const

overrideprotectedvirtual

Implements HaganPricer.

swapletPrice()

Real swapletPrice ( ) const

overrideprotectedvirtual

Implements HaganPricer.