CmsCapHelper Class Reference

Inheritance diagram for CmsCapHelper:

Public Member Functions
	CmsCapHelper (Date asof, QuantLib::ext::shared_ptr< SwapIndex > &index1, QuantLib::ext::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, QuantLib::ext::shared_ptr< FloatingRateCouponPricer > &pricer, QuantLib::ext::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_
QuantLib::ext::shared_ptr< SwapIndex >	index1_
QuantLib::ext::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_
QuantLib::ext::shared_ptr< FloatingRateCouponPricer >	pricer_
QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer >	cmsPricer_