#include <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()
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virtualdefault |
Member Function Documentation
◆ meanReversion()
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pure virtual |
Implemented in HaganPricer, and LinearTsrPricer.
◆ setMeanReversion()
Implemented in HaganPricer, and LinearTsrPricer.