Public Member Functions | |
CmsCapHelper (Date asof, boost::shared_ptr< SwapIndex > &index1, boost::shared_ptr< SwapIndex > &index2, const Handle< YieldTermStructure > &yts, const Handle< Quote > &price, const Handle< Quote > &correlation, const Period &length, const Period &forwardStart, const Period &spotDays, const Period &cmsTenor, Natural fixingDays, const Calendar &calendar, const DayCounter &daycounter, const BusinessDayConvention &convention, boost::shared_ptr< FloatingRateCouponPricer > &pricer, boost::shared_ptr< QuantLib::CmsCouponPricer > &cmsPricer) | |
void | performCalculations () const override |
QuantLib::Real | marketValue () const |
returns the actual price of the instrument (from volatility) | |
QuantLib::Real | modelValue () const |
returns the price of the instrument according to the model | |
QuantLib::Real | calibrationError () override |
returns the error resulting from the model valuation | |
Protected Attributes | |
Date | asof_ |
boost::shared_ptr< SwapIndex > | index1_ |
boost::shared_ptr< SwapIndex > | index2_ |
Handle< YieldTermStructure > | discountCurve_ |
Real | marketValue_ |
Handle< Quote > | correlation_ |
Period | length_ |
Period | forwardStart_ |
Period | spotDays_ |
Period | cmsTenor_ |
Natural | fixingDays_ |
Calendar | calendar_ |
DayCounter | dayCounter_ |
BusinessDayConvention | convention_ |
boost::shared_ptr< FloatingRateCouponPricer > | pricer_ |
boost::shared_ptr< QuantLib::CmsCouponPricer > | cmsPricer_ |