CmsSpreadCouponPricer2 Class Reference

base pricer for vanilla CMS spread coupons with a correlation surface More...

#include <qle/cashflows/lognormalcmsspreadpricer.hpp>

Inheritance diagram for CmsSpreadCouponPricer2:

Collaboration diagram for CmsSpreadCouponPricer2:

Public Member Functions
	CmsSpreadCouponPricer2 (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())
Real	correlation (Time t, Real strike=1) const
void	setCorrelationCurve (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())

Private Attributes
Handle< CorrelationTermStructure >	correlationCurve_

Detailed Description

base pricer for vanilla CMS spread coupons with a correlation surface

Definition at line 63 of file lognormalcmsspreadpricer.hpp.

Constructor & Destructor Documentation

CmsSpreadCouponPricer2()

CmsSpreadCouponPricer2 ( const Handle< CorrelationTermStructure > &  correlation = Handle<CorrelationTermStructure>() )

explicit

Definition at line 65 of file lognormalcmsspreadpricer.hpp.

        : CmsSpreadCouponPricer(Handle<Quote>(QuantLib::ext::make_shared<ExceptionQuote>(
              "CmsSpreadPricer2 doesn't support 'correlation()', instead use 'correlation(Time, Strike)'"))),
          correlationCurve_(correlation) {
        registerWith(correlationCurve_);
    }

Member Function Documentation

correlation()

Real correlation	(	Time	t,
		Real	strike = 1
	)		const

Definition at line 73 of file lognormalcmsspreadpricer.hpp.

{ return correlationCurve_->correlation(t, strike); }

Here is the caller graph for this function:

setCorrelationCurve()

void setCorrelationCurve

(

const Handle< CorrelationTermStructure > &

correlation = Handle<CorrelationTermStructure>()

)

Definition at line 75 of file lognormalcmsspreadpricer.hpp.

                                                                                                                       {
        unregisterWith(correlationCurve_);
        correlationCurve_ = correlation;
        registerWith(correlationCurve_);
        update();
    }

Here is the call graph for this function:

Member Data Documentation

correlationCurve_

Handle<CorrelationTermStructure> correlationCurve_

private

Definition at line 83 of file lognormalcmsspreadpricer.hpp.