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

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
 

Detailed Description

linear terminal swap rate model for cms coupon pricing

Definition in file lineartsrpricer.hpp.