QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
cmsspreadcoupon.hpp File Reference

CMS spread coupon. More...

#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/time/schedule.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  CmsSpreadCoupon
 CMS spread coupon class. More...
 
class  CappedFlooredCmsSpreadCoupon
 
class  CmsSpreadLeg
 helper class building a sequence of capped/floored cms-spread-rate coupons More...
 
class  CmsSpreadCouponPricer
 base pricer for vanilla CMS spread coupons More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

CMS spread coupon.

Definition in file cmsspreadcoupon.hpp.