QuantLib: LognormalCmsSpreadPricer Class Reference

CMS spread - coupon pricer. More...

#include <ql/experimental/coupons/lognormalcmsspreadpricer.hpp>

Inheritance diagram for LognormalCmsSpreadPricer:

Public Member Functions
	LognormalCmsSpreadPricer (const ext::shared_ptr< CmsCouponPricer > &cmsPricer, const Handle< Quote > &correlation, Handle< YieldTermStructure > couponDiscountCurve=Handle< YieldTermStructure >(), Size IntegrationPoints=16, const ext::optional< VolatilityType > &volatilityType=ext::nullopt, Real shift1=Null< Real >(), Real shift2=Null< Real >())
Real	swapletPrice () const override
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
Public Member Functions inherited from CmsSpreadCouponPricer
	CmsSpreadCouponPricer (Handle< Quote > correlation=Handle< Quote >())
Handle< Quote >	correlation () const
void	setCorrelation (const Handle< Quote > &correlation=Handle< Quote >())
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 ()

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

Detailed Description

CMS spread - coupon pricer.

The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility type and shift).

For the bivariate spread model, the volatility type and the shifts can be inherited (default), or explicitly specified. In the latter case the type, and (if lognormal) the shifts must be given (or are defaulted to zero, if not given).

References:

Brigo, Mercurio: Interst Rate Models - Theory and Practice, 2nd Edition, Springer, 2006, chapter 13.6.2

http://ssrn.com/abstract=2686998