HaganPricer Class Reference

CMS-coupon pricer. More...

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for HaganPricer:

Public Member Functions
Real	swapletPrice () const override=0
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
	HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, Handle< Quote > meanReversion)
void	initialize (const FloatingRateCoupon &coupon) override
virtual Real	optionletPrice (Option::Type optionType, Real strike) const =0

Protected Attributes
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_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

CMS-coupon pricer.

Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article

Member Function Documentation

swapletPrice()

Real swapletPrice ( ) const

overridepure virtual

Implements FloatingRateCouponPricer.

swapletRate()

Rate swapletRate ( ) const

overridevirtual

Implements FloatingRateCouponPricer.

capletPrice()

Real capletPrice ( Rate effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

capletRate()

Rate capletRate ( Rate effectiveCap ) const

overridevirtual

Implements FloatingRateCouponPricer.

floorletPrice()

Real floorletPrice ( Rate effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.

floorletRate()

Rate floorletRate ( Rate effectiveFloor ) const

overridevirtual

Implements FloatingRateCouponPricer.

meanReversion()

Real meanReversion ( ) const

overridevirtual

Implements MeanRevertingPricer.

setMeanReversion()

void setMeanReversion ( const Handle< Quote > & meanReversion )

overridevirtual

Implements MeanRevertingPricer.

initialize()

void initialize ( const FloatingRateCoupon & coupon )

overrideprotectedvirtual

Implements FloatingRateCouponPricer.