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< Quote > | correlation () 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 &) | |
| Observer & | operator= (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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
CMS spread - coupon pricer.
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