QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
LognormalCmsSpreadPricer Class Reference

CMS spread - coupon pricer. More...

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

+ Inheritance diagram for LognormalCmsSpreadPricer:

Public Member Functions

 LognormalCmsSpreadPricer (const boost::shared_ptr< CmsCouponPricer > cmsPricer, const Handle< Quote > &correlation, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Size IntegrationPoints=16)
 
virtual Real swapletPrice () const
 
virtual Rate swapletRate () const
 
virtual Real capletPrice (Rate effectiveCap) const
 
virtual Rate capletRate (Rate effectiveCap) const
 
virtual Real floorletPrice (Rate effectiveFloor) const
 
virtual Rate floorletRate (Rate effectiveFloor) const
 
void flushCache ()
 
- Public Member Functions inherited from CmsSpreadCouponPricer
 CmsSpreadCouponPricer (const Handle< Quote > &correlation=Handle< Quote >())
 
Handle< Quotecorrelation () const
 
void setCorrelation (const Handle< Quote > &correlation=Handle< Quote >())
 
- Public Member Functions inherited from FloatingRateCouponPricer
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Detailed Description

CMS spread - coupon pricer.

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