CMS-coupon pricer. More...

#include <conundrumpricer.hpp>

Inheritance diagram for AnalyticHaganPricer:

Collaboration diagram for AnalyticHaganPricer:

Public Member Functions
	AnalyticHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion)

Public Member Functions inherited from HaganPricer
Real	swapletPrice () const override=0

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

Real	meanReversion () const override

void	setMeanReversion (const Handle< Quote > &meanReversion) override

Public Member Functions inherited from CmsCouponPricer
	CmsCouponPricer (Handle< SwaptionVolatilityStructure > v=Handle< SwaptionVolatilityStructure >())

Handle< SwaptionVolatilityStructure >	swaptionVolatility () const

void	setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >())

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 ()

Public Member Functions inherited from MeanRevertingPricer
virtual Real	meanReversion () const =0

virtual void	setMeanReversion (const Handle< Quote > &)=0

virtual	~MeanRevertingPricer ()=default

Protected Member Functions
Real	optionletPrice (Option::Type optionType, Real strike) const override

Real	swapletPrice () const override

Protected Member Functions inherited from HaganPricer
	HaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, Handle< Quote > meanReversion)

void	initialize (const FloatingRateCoupon &coupon) override

virtual Real	optionletPrice (Option::Type optionType, Real strike) const =0

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

Protected Attributes inherited from HaganPricer
ext::shared_ptr< YieldTermStructure >	rateCurve_

GFunctionFactory::YieldCurveModel	modelOfYieldCurve_

ext::shared_ptr< GFunction >	gFunction_

const CmsCoupon *	coupon_

Date	paymentDate_

Date	fixingDate_

Rate	swapRateValue_

DiscountFactor	discount_

Real	annuity_

Real	gearing_

Spread	spread_

Real	spreadLegValue_

Rate	cutoffForCaplet_ = 2

Rate	cutoffForFloorlet_ = 0

Handle< Quote >	meanReversion_

Period	swapTenor_

ext::shared_ptr< VanillaOptionPricer >	vanillaOptionPricer_

Detailed Description

CMS-coupon pricer.

Definition at line 323 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

◆ AnalyticHaganPricer()

AnalyticHaganPricer	(	const Handle< SwaptionVolatilityStructure > &	swaptionVol,
		GFunctionFactory::YieldCurveModel	modelOfYieldCurve,
		const Handle< Quote > &	meanReversion
	)

Definition at line 503 of file conundrumpricer.cpp.

Member Function Documentation

◆ optionletPrice()

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

overrideprotectedvirtual

Implements HaganPricer.

Definition at line 511 of file conundrumpricer.cpp.

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◆ swapletPrice()

Real swapletPrice ( ) const

overrideprotectedvirtual

Implements HaganPricer.

Definition at line 555 of file conundrumpricer.cpp.