QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
CMS spread coupon.
Definition in file cmsspreadcoupon.hpp.