CMS spread - coupon pricer. More...

#include <lognormalcmsspreadpricer.hpp>

Inheritance diagram for LognormalCmsSpreadPricer:

Collaboration diagram for LognormalCmsSpreadPricer:

Public Member Functions
	LognormalCmsSpreadPricer (const ext::shared_ptr< CmsCouponPricer > &cmsPricer, const Handle< Quote > &correlation, Handle< YieldTermStructure > couponDiscountCurve=Handle< YieldTermStructure >(), Size IntegrationPoints=16, const ext::optional< VolatilityType > &volatilityType=ext::nullopt, Real shift1=Null< Real >(), Real shift2=Null< Real >())

Real	swapletPrice () const override

Rate	swapletRate () const override

Real	capletPrice (Rate effectiveCap) const override

Rate	capletRate (Rate effectiveCap) const override

Real	floorletPrice (Rate effectiveFloor) const override

Rate	floorletRate (Rate effectiveFloor) const override

Public Member Functions inherited from CmsSpreadCouponPricer
	CmsSpreadCouponPricer (Handle< Quote > correlation=Handle< Quote >())

Handle< Quote >	correlation () const

void	setCorrelation (const Handle< Quote > &correlation=Handle< Quote >())

Public Member Functions inherited from FloatingRateCouponPricer
	~FloatingRateCouponPricer () override=default

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Private Member Functions
void	initialize (const FloatingRateCoupon &coupon) override

Real	optionletPrice (Option::Type optionType, Real strike) const

Real	integrand (Real) const

Real	integrand_normal (Real) const

Private Attributes
ext::shared_ptr< CmsCouponPricer >	cmsPricer_

Handle< YieldTermStructure >	couponDiscountCurve_

const CmsSpreadCoupon *	coupon_

Date	today_

Date	fixingDate_

Date	paymentDate_

Real	fixingTime_

Real	gearing_

Real	spread_

Real	spreadLegValue_

Real	discount_

ext::shared_ptr< SwapSpreadIndex >	index_

ext::shared_ptr< CumulativeNormalDistribution >	cnd_

ext::shared_ptr< GaussianQuadrature >	integrator_

Real	swapRate1_

Real	swapRate2_

Real	gearing1_

Real	gearing2_

Real	adjustedRate1_

Real	adjustedRate2_

Real	vol1_

Real	vol2_

Real	mu1_

Real	mu2_

Real	rho_

bool	inheritedVolatilityType_

VolatilityType	volType_

Real	shift1_

Real	shift2_

Real	phi_

Real	a_

Real	b_

Real	s1_

Real	s2_

Real	m1_

Real	m2_

Real	v1_

Real	v2_

Real	k_

Real	alpha_

Real	psi_

Option::Type	optionType_

ext::shared_ptr< CmsCoupon >	c1_

ext::shared_ptr< CmsCoupon >	c2_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

CMS spread - coupon pricer.

The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility type and shift).

For the bivariate spread model, the volatility type and the shifts can be inherited (default), or explicitly specified. In the latter case the type, and (if lognormal) the shifts must be given (or are defaulted to zero, if not given).

References:

Brigo, Mercurio: Interst Rate Models - Theory and Practice, 2nd Edition, Springer, 2006, chapter 13.6.2

http://ssrn.com/abstract=2686998

Definition at line 60 of file lognormalcmsspreadpricer.hpp.

Constructor & Destructor Documentation

◆ LognormalCmsSpreadPricer()

LognormalCmsSpreadPricer	(	const ext::shared_ptr< CmsCouponPricer > &	cmsPricer,
		const Handle< Quote > &	correlation,
		Handle< YieldTermStructure >	couponDiscountCurve = `Handle<YieldTermStructure>()`,
		Size	IntegrationPoints = `16`,
		const ext::optional< VolatilityType > &	volatilityType = `ext::nullopt`,
		Real	shift1 = `Null<Real>()`,
		Real	shift2 = `Null<Real>()`
	)