ConundrumPricerByNumericalIntegration Class Reference
#include <ql/CashFlows/conundrumpricer.hpp>
Inheritance diagram for ConundrumPricerByNumericalIntegration:

Detailed Description
ConundrumPricerByNumericalIntegration.Prices a CMS coupon via static replication as in Hagan's "Conundrums..." article via numerical integration based on prices of vanilla swaptions
Public Member Functions | |
ConundrumPricerByNumericalIntegration (const GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve=GFunctionFactory::standard, Real lowerLimit=0.0, Real upperLimit=1.0) |