QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Public Member Functions | List of all members
MeanRevertingPricer Class Referenceabstract

#include <ql/cashflows/couponpricer.hpp>

+ Inheritance diagram for MeanRevertingPricer:
+ Collaboration diagram for MeanRevertingPricer:

Public Member Functions

virtual Real meanReversion () const =0
 
virtual void setMeanReversion (const Handle< Quote > &)=0
 
virtual ~MeanRevertingPricer ()=default
 

Detailed Description

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes

Definition at line 174 of file couponpricer.hpp.

Constructor & Destructor Documentation

◆ ~MeanRevertingPricer()

virtual ~MeanRevertingPricer ( )
virtualdefault

Member Function Documentation

◆ meanReversion()

virtual Real meanReversion ( ) const
pure virtual

Implemented in HaganPricer, and LinearTsrPricer.

◆ setMeanReversion()

virtual void setMeanReversion ( const Handle< Quote > &  )
pure virtual

Implemented in HaganPricer, and LinearTsrPricer.