LognormalCmsSpreadPricer Class Reference

CMS spread - coupon pricer. More...

#include <qle/cashflows/lognormalcmsspreadpricer.hpp>

Inheritance diagram for LognormalCmsSpreadPricer:

Public Member Functions
	LognormalCmsSpreadPricer (const boost::shared_ptr< CmsCouponPricer > cmsPricer, const Handle< QuantExt::CorrelationTermStructure > &correlation, const Handle< YieldTermStructure > &couponDiscountCurve=Handle< YieldTermStructure >(), const Size IntegrationPoints=16, const boost::optional< VolatilityType > volatilityType=boost::none, const Real shift1=Null< Real >(), const Real shift2=Null< Real >())
virtual Real	swapletPrice () const override
virtual Rate	swapletRate () const override
virtual Real	capletPrice (Rate effectiveCap) const override
virtual Rate	capletRate (Rate effectiveCap) const override
virtual Real	floorletPrice (Rate effectiveFloor) const override
virtual Rate	floorletRate (Rate effectiveFloor) const override
Public Member Functions inherited from CmsSpreadCouponPricer2
	CmsSpreadCouponPricer2 (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())
Real	correlation (Time t, Real strike=1) const
void	setCorrelationCurve (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())

Friends
class	integrand_f

Detailed Description

CMS spread - coupon pricer.

The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility type and shift).

For the bivariate spread model, the volatility type and the shifts can be inherited (default), or explicitly specified. In the latter case the type, and (if lognormal) the shifts must be given (or are defaulted to zero, if not given).

References:

Brigo, Mercurio: Interest Rate Models - Theory and Practice, 2nd Edition, Springer, 2006, chapter 13.6.2

http://ssrn.com/abstract=2686998