CMS spread - coupon pricer. More...
#include <ql/experimental/coupons/lognormalcmsspreadpricer.hpp>
Public Member Functions | |
LognormalCmsSpreadPricer (const boost::shared_ptr< CmsCouponPricer > cmsPricer, const Handle< Quote > &correlation, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Size IntegrationPoints=16) | |
virtual Real | swapletPrice () const |
virtual Rate | swapletRate () const |
virtual Real | capletPrice (Rate effectiveCap) const |
virtual Rate | capletRate (Rate effectiveCap) const |
virtual Real | floorletPrice (Rate effectiveFloor) const |
virtual Rate | floorletRate (Rate effectiveFloor) const |
void | flushCache () |
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CmsSpreadCouponPricer (const Handle< Quote > &correlation=Handle< Quote >()) | |
Handle< Quote > | correlation () const |
void | setCorrelation (const Handle< Quote > &correlation=Handle< Quote >()) |
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void | update () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
CMS spread - coupon pricer.
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