ConundrumPricer Class Reference

#include <ql/CashFlows/conundrumpricer.hpp>

Inheritance diagram for ConundrumPricer:

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List of all members.

Detailed Description

ConundrumPricer.

Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article


Public Member Functions

Real price () const
Real rate () const

Protected Member Functions

 ConundrumPricer (const GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve)
void initialize (const CMSCoupon &coupon)
virtual Real optionLetPrice (Option::Type optionType, Real strike) const=0
virtual Real swapLetPrice () const=0

Protected Attributes

boost::shared_ptr< YieldTermStructurerateCurve_
GFunctionFactory::ModelOfYieldCurve modelOfYieldCurve_
boost::shared_ptr< GFunction > gFunction_
const CMSCouponcoupon_
Date paymentDate_
Date fixingDate_
Real swapRateValue_
Real discount_
Real annuity_
Real min_
Real max_
Real gearing_
Real spread_
const Real cutoffForCaplet_
const Real cutoffForFloorlet_
Period swapTenor_
boost::shared_ptr< VanillaOptionPricer > vanillaOptionPricer_