MeanRevertingPricer Class Reference

#include <couponpricer.hpp>

Inheritance diagram for MeanRevertingPricer:

Collaboration diagram for MeanRevertingPricer:

Public Member Functions
virtual Real	meanReversion () const =0
virtual void	setMeanReversion (const Handle< Quote > &)=0
virtual	~MeanRevertingPricer ()=default

Detailed Description

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes

Definition at line 174 of file couponpricer.hpp.

Constructor & Destructor Documentation

~MeanRevertingPricer()

virtual ~MeanRevertingPricer ( )

virtualdefault

Member Function Documentation

meanReversion()

virtual Real meanReversion ( ) const

pure virtual

Implemented in HaganPricer, and LinearTsrPricer.

setMeanReversion()

virtual void setMeanReversion ( const Handle< Quote > &  )

pure virtual

Implemented in HaganPricer, and LinearTsrPricer.