QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/cashflows/couponpricer.hpp>
Public Member Functions | |
virtual Real | meanReversion () const =0 |
virtual void | setMeanReversion (const Handle< Quote > &)=0 |
virtual | ~MeanRevertingPricer ()=default |
(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.
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virtualdefault |
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pure virtual |
Implemented in HaganPricer, and LinearTsrPricer.
Implemented in HaganPricer, and LinearTsrPricer.