base pricer for vanilla CMS spread coupons with a correlation surface More...
#include <qle/cashflows/lognormalcmsspreadpricer.hpp>
Public Member Functions | |
CmsSpreadCouponPricer2 (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >()) | |
Real | correlation (Time t, Real strike=1) const |
void | setCorrelationCurve (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >()) |
base pricer for vanilla CMS spread coupons with a correlation surface