DurationAdjustedCmsCouponTsrPricer Class Reference

Inheritance diagram for DurationAdjustedCmsCouponTsrPricer:

Public Member Functions
	DurationAdjustedCmsCouponTsrPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, const boost::shared_ptr< AnnuityMappingBuilder > &annuityMappingBuilder, const Real lowerIntegrationBound=-0.3, const Real upperIntegrationBound=0.3, const boost::shared_ptr< Integrator > &integrator=boost::shared_ptr< Integrator >())
Real	swapletPrice () const override
Rate	swapletRate () const override
Real	capletPrice (Rate effectiveCap) const override
Rate	capletRate (Rate effectiveCap) const override
Real	floorletPrice (Rate effectiveFloor) const override
Rate	floorletRate (Rate effectiveFloor) const override