QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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linear terminal swap rate model for cms coupon pricing More...
#include <ql/termstructures/volatility/smilesection.hpp>
#include <ql/cashflows/couponpricer.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/indexes/swapindex.hpp>
#include <ql/instruments/fixedvsfloatingswap.hpp>
#include <ql/math/integrals/integral.hpp>
Go to the source code of this file.
Classes | |
class | LinearTsrPricer |
CMS-coupon pricer. More... | |
struct | LinearTsrPricer::Settings |
class | LinearTsrPricer::VegaRatioHelper |
class | LinearTsrPricer::PriceHelper |
Namespaces | |
namespace | QuantLib |
linear terminal swap rate model for cms coupon pricing
Definition in file lineartsrpricer.hpp.