lognormalcmsspreadpricer.hpp File Reference

cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998 More...

#include <ql/cashflows/cmscoupon.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <qle/quotes/exceptionquote.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>

Go to the source code of this file.

Classes
class	CmsSpreadCouponPricer2
	base pricer for vanilla CMS spread coupons with a correlation surface More...
class	LognormalCmsSpreadPricer
	CMS spread - coupon pricer. More...

Namespaces
namespace	QuantLib
namespace	QuantExt

Detailed Description

cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998

Definition in file lognormalcmsspreadpricer.hpp.