NumericHaganPricer Class Reference

CMS-coupon pricer. More...

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for NumericHaganPricer:

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 hardUpperLimit=QL_MAX_REAL)
Real	upperLimit () const
Real	lowerLimit () const
Real	stdDeviations () const
Real	integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const
Real	optionletPrice (Option::Type optionType, Rate strike) const override
Real	swapletPrice () const override
Real	resetUpperLimit (Real stdDeviationsForUpperLimit) const
Real	resetLowerLimit (Real stdDeviationsForLowerLimit) const
Real	refineIntegration (Real integralValue, const ConundrumIntegrand &integrand) const
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 ()

Public Attributes
Real	lowerLimit_
Real	stdDeviationsForLowerLimit_
Real	upperLimit_
Real	stdDeviationsForUpperLimit_
const Real	requiredStdDeviations_ = 8
const Real	precision_
const Real	refiningIntegrationTolerance_ = .0001
const Real	hardUpperLimit_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from HaganPricer
	HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, Handle< Quote > meanReversion)
void	initialize (const FloatingRateCoupon &coupon) override
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.

Prices a cms coupon via static replication as in Hagan's "Conundrums..." article via numerical integration based on prices of vanilla swaptions

Member Function Documentation

optionletPrice()

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

overridevirtual

Implements HaganPricer.

swapletPrice()

Real swapletPrice ( ) const

overridevirtual

Implements HaganPricer.