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Class HaganPricer

CMS-coupon pricer Base class for the pricing of a CMS coupon via static replication as in Hagan's "Conundrums..." article

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _annuity

_annuity: Real

Protected _coupon

_coupon: CmsCoupon

Protected _cutoffForCaplet

_cutoffForCaplet: Rate

Protected _cutoffForFloorlet

_cutoffForFloorlet: Rate

Protected _discount

_discount: DiscountFactor

Protected _fixingDate

_fixingDate: Date

Protected _gFunction

_gFunction: GFunction

Protected _gearing

_gearing: Real

_isDisposed

_isDisposed: boolean = false

Protected _meanReversion

_meanReversion: Handle<Quote>

Protected _modelOfYieldCurve

_modelOfYieldCurve: YieldCurveModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _paymentDate

_paymentDate: Date

Protected _rateCurve

_rateCurve: YieldTermStructure

Protected _spread

_spread: Spread

Protected _spreadLegValue

_spreadLegValue: Real

Protected _swapRateValue

_swapRateValue: Rate

Protected _swapTenor

_swapTenor: Period

_swaptionVol

_swaptionVol: Handle<SwaptionVolatilityStructure>

Protected _vanillaOptionPricer

_vanillaOptionPricer: VanillaOptionPricer

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

init

init: (v?: Handle<SwaptionVolatilityStructure>) => CmsCouponPricer

Type declaration

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

setSwaptionVolatility

setSwaptionVolatility: (v: Handle<SwaptionVolatilityStructure>) => void

Type declaration

swaptionVolatility

swaptionVolatility: () => Handle<SwaptionVolatilityStructure>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

capletPrice

capletRate

floorletPrice

  • floorletPrice(effectiveFloor: Rate): Real

floorletRate

  • floorletRate(effectiveFloor: Rate): Rate

initialize

meanReversion

  • meanReversion(): Real

Protected optionletPrice

  • Parameters

    Returns Real

setMeanReversion

swapletPrice

  • swapletPrice(): Real

swapletRate

  • swapletRate(): Rate