AnalyticHaganPricer (3) - Linux Man Pages

AnalyticHaganPricer: CMS-coupon pricer.

NAME

QuantLib::AnalyticHaganPricer - CMS-coupon pricer.

SYNOPSIS


#include <ql/cashflows/conundrumpricer.hpp>

Inherits QuantLib::HaganPricer.

Public Member Functions


AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)

Protected Member Functions


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

Real swapletPrice () const

Detailed Description

CMS-coupon pricer.

Author

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