ConundrumPricer Class Reference
#include <ql/CashFlows/conundrumpricer.hpp>
Inheritance diagram for ConundrumPricer:

Detailed Description
ConundrumPricer.Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article
Public Member Functions | |
| Real | price () const |
| Real | rate () const |
Protected Member Functions | |
| ConundrumPricer (const GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve) | |
| void | initialize (const CMSCoupon &coupon) |
| virtual Real | optionLetPrice (Option::Type optionType, Real strike) const=0 |
| virtual Real | swapLetPrice () const=0 |
Protected Attributes | |
| boost::shared_ptr< YieldTermStructure > | rateCurve_ |
| GFunctionFactory::ModelOfYieldCurve | modelOfYieldCurve_ |
| boost::shared_ptr< GFunction > | gFunction_ |
| const CMSCoupon * | coupon_ |
| Date | paymentDate_ |
| Date | fixingDate_ |
| Real | swapRateValue_ |
| Real | discount_ |
| Real | annuity_ |
| Real | min_ |
| Real | max_ |
| Real | gearing_ |
| Real | spread_ |
| const Real | cutoffForCaplet_ |
| const Real | cutoffForFloorlet_ |
| Period | swapTenor_ |
| boost::shared_ptr< VanillaOptionPricer > | vanillaOptionPricer_ |