QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998 More...
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/optional.hpp>
Go to the source code of this file.
Classes | |
class | LognormalCmsSpreadPricer |
CMS spread - coupon pricer. More... | |
Namespaces | |
namespace | QuantLib |
cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998
Definition in file lognormalcmsspreadpricer.hpp.