CMS-coupon pricer. More...
#include <conundrumpricer.hpp>
Inheritance diagram for HaganPricer:
Collaboration diagram for HaganPricer:
Public Member Functions | |
| Real | swapletPrice () const override=0 |
| Rate | swapletRate () const override |
| Real | capletPrice (Rate effectiveCap) const override |
| Rate | capletRate (Rate effectiveCap) const override |
| Real | floorletPrice (Rate effectiveFloor) const override |
| Rate | floorletRate (Rate effectiveFloor) const override |
| Real | meanReversion () const override |
| void | setMeanReversion (const Handle< Quote > &meanReversion) override |
| Public Member Functions inherited from CmsCouponPricer | |
| CmsCouponPricer (Handle< SwaptionVolatilityStructure > v=Handle< SwaptionVolatilityStructure >()) | |
| Handle< SwaptionVolatilityStructure > | swaptionVolatility () const |
| void | setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) |
| Public Member Functions inherited from FloatingRateCouponPricer | |
| ~FloatingRateCouponPricer () override=default | |
| void | update () override |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from MeanRevertingPricer | |
| virtual Real | meanReversion () const =0 |
| virtual void | setMeanReversion (const Handle< Quote > &)=0 |
| virtual | ~MeanRevertingPricer ()=default |
Protected Member Functions | |
| HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, Handle< Quote > meanReversion) | |
| void | initialize (const FloatingRateCoupon &coupon) override |
| virtual Real | optionletPrice (Option::Type optionType, Real strike) const =0 |
Protected Attributes | |
| ext::shared_ptr< YieldTermStructure > | rateCurve_ |
| GFunctionFactory::YieldCurveModel | modelOfYieldCurve_ |
| ext::shared_ptr< GFunction > | gFunction_ |
| const CmsCoupon * | coupon_ |
| Date | paymentDate_ |
| Date | fixingDate_ |
| Rate | swapRateValue_ |
| DiscountFactor | discount_ |
| Real | annuity_ |
| Real | gearing_ |
| Spread | spread_ |
| Real | spreadLegValue_ |
| Rate | cutoffForCaplet_ = 2 |
| Rate | cutoffForFloorlet_ = 0 |
| Handle< Quote > | meanReversion_ |
| Period | swapTenor_ |
| ext::shared_ptr< VanillaOptionPricer > | vanillaOptionPricer_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
CMS-coupon pricer.
Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article
Definition at line 203 of file conundrumpricer.hpp.
Constructor & Destructor Documentation
◆ HaganPricer()
|
protected |
Member Function Documentation
◆ swapletPrice()
|
overridepure virtual |
Implements FloatingRateCouponPricer.
Implemented in NumericHaganPricer, and AnalyticHaganPricer.
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◆ swapletRate()
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overridevirtual |
Implements FloatingRateCouponPricer.
Definition at line 154 of file conundrumpricer.cpp.
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◆ capletPrice()
Implements FloatingRateCouponPricer.
Definition at line 158 of file conundrumpricer.cpp.
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◆ capletRate()
Implements FloatingRateCouponPricer.
Definition at line 188 of file conundrumpricer.cpp.
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◆ floorletPrice()
Implements FloatingRateCouponPricer.
Definition at line 192 of file conundrumpricer.cpp.
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◆ floorletRate()
Implements FloatingRateCouponPricer.
Definition at line 223 of file conundrumpricer.cpp.
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◆ meanReversion()
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overridevirtual |
Implements MeanRevertingPricer.
Definition at line 152 of file conundrumpricer.cpp.
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◆ setMeanReversion()
Implements MeanRevertingPricer.
Definition at line 214 of file conundrumpricer.hpp.
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◆ initialize()
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overrideprotectedvirtual |
Implements FloatingRateCouponPricer.
Definition at line 86 of file conundrumpricer.cpp.
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◆ optionletPrice()
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protectedpure virtual |
Implemented in NumericHaganPricer, and AnalyticHaganPricer.
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Member Data Documentation
◆ rateCurve_
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protected |
Definition at line 230 of file conundrumpricer.hpp.
◆ modelOfYieldCurve_
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protected |
Definition at line 231 of file conundrumpricer.hpp.
◆ gFunction_
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protected |
Definition at line 232 of file conundrumpricer.hpp.
◆ coupon_
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protected |
Definition at line 233 of file conundrumpricer.hpp.
◆ paymentDate_
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protected |
Definition at line 234 of file conundrumpricer.hpp.
◆ fixingDate_
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protected |
Definition at line 234 of file conundrumpricer.hpp.
◆ swapRateValue_
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protected |
Definition at line 235 of file conundrumpricer.hpp.
◆ discount_
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protected |
Definition at line 236 of file conundrumpricer.hpp.
◆ annuity_
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protected |
Definition at line 237 of file conundrumpricer.hpp.
◆ gearing_
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protected |
Definition at line 238 of file conundrumpricer.hpp.
◆ spread_
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protected |
Definition at line 239 of file conundrumpricer.hpp.
◆ spreadLegValue_
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protected |
Definition at line 240 of file conundrumpricer.hpp.
◆ cutoffForCaplet_
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protected |
Definition at line 241 of file conundrumpricer.hpp.
◆ cutoffForFloorlet_
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protected |
Definition at line 241 of file conundrumpricer.hpp.
◆ meanReversion_
Definition at line 242 of file conundrumpricer.hpp.
◆ swapTenor_
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protected |
Definition at line 243 of file conundrumpricer.hpp.
◆ vanillaOptionPricer_
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protected |
Definition at line 244 of file conundrumpricer.hpp.