lognormalcmsspreadpricer.hpp File Reference

cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998 More...

#include <ql/cashflows/cmscoupon.hpp>
#include <ql/experimental/coupons/cmsspreadcoupon.hpp>
#include <ql/experimental/coupons/swapspreadindex.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/integrals/gaussianquadratures.hpp>
#include <qle/quotes/exceptionquote.hpp>
#include <qle/termstructures/correlationtermstructure.hpp>

Classes
class	CmsSpreadCouponPricer2
	base pricer for vanilla CMS spread coupons with a correlation surface More...
class	LognormalCmsSpreadPricer
	CMS spread - coupon pricer. More...

Detailed Description

cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998