LognormalCmsSpreadPricer

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: Interst Rate Models - Theory and Practice, 2nd Edition, Springer, 2006, chapter 13.6.2

http://ssrn.com/abstract=2686998

Hierarchy

CmsSpreadCouponPricer
- LognormalCmsSpreadPricer

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LognormalCmsSpreadPricer(cmsPricer: CmsCouponPricer, correlation: Handle<Quote>, couponDiscountCurve?: Handle<YieldTermStructure>, integrationPoints?: Size, volatilityType?: VolatilityType, shift1?: Real, shift2?: Real): LognormalCmsSpreadPricer

Overrides CmsSpreadCouponPricer.constructor
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:50
Parameters
- cmsPricer: CmsCouponPricer
- correlation: Handle<Quote>
- Default value couponDiscountCurve: Handle<YieldTermStructure> = new Handle()
- Default value integrationPoints: Size = 16
- Default value volatilityType: VolatilityType = null
- Default value shift1: Real = QL_NULL_REAL
- Default value shift2: Real = QL_NULL_REAL
Returns LognormalCmsSpreadPricer

Properties

Private _a

_a: Real

Private _adjustedRate1

_adjustedRate1: Real

Private _adjustedRate2

_adjustedRate2: Real

Private _alpha

_alpha: Real

Private _cache

_cache: CacheType = new Map()

Private _cmsPricer

_cmsPricer: CmsCouponPricer

Private _cnd

_cnd: CumulativeNormalDistribution

Private _coupon

_coupon: CmsSpreadCoupon

Private _couponDiscountCurve

_couponDiscountCurve: Handle<YieldTermStructure>

Private _discount

_discount: Real

Private _fixingDate

_fixingDate: Date

Private _fixingTime

_fixingTime: Time

Private _gearing

_gearing: Real

Private _gearing1

_gearing1: Real

Private _gearing2

_gearing2: Real

Private _index

_index: SwapSpreadIndex

Private _inheritedVolatilityType

_inheritedVolatilityType: boolean

Private _integrator

_integrator: GaussianQuadrature

_isDisposed

_isDisposed: boolean = false

Private _k

_k: Real

Private _m1

_m1: Real

Private _m2

_m2: Real

Private _mu1

_mu1: Real

Private _mu2

_mu2: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _optionType

_optionType: Type

Private _paymentDate

_paymentDate: Date

Private _phi

_phi: Real

Private _privateObserver

_privateObserver: PrivateObserver

Private _psi

_psi: Real

Private _rho

_rho: Real

Private _s1

_s1: Real

Private _s2

_s2: Real

Private _shift1

_shift1: Real

Private _shift2

_shift2: Real

Private _spread

_spread: Real

Private _spreadLegValue

_spreadLegValue: Real

Private _swapRate1

_swapRate1: Real

Private _swapRate2

_swapRate2: Real

Private _today

_today: Date

Private _v1

_v1: Real

Private _v2

_v2: Real

Private _vol1

_vol1: Real

Private _vol2

_vol2: Real

Private _volType

_volType: VolatilityType

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

capletPrice

capletPrice(effectiveCap: Rate): Real

Overrides FloatingRateCouponPricer.capletPrice
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:106
Parameters
- effectiveCap: Rate
Returns Real

capletRate

capletRate(effectiveCap: Rate): Rate

Overrides FloatingRateCouponPricer.capletRate
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:123
Parameters
- effectiveCap: Rate
Returns Rate

correlation

correlation(): Handle<Quote>

Inherited from CmsSpreadCouponPricer.correlation
- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:213
Returns Handle<Quote>

deepUpdate

deepUpdate(): void

Inherited from ObserverObservable.deepUpdate
- Defined in mixins/ql/patterns/observerobservable.ts:23
Returns void

floorletPrice

floorletPrice(effectiveFloor: Rate): Real

Overrides FloatingRateCouponPricer.floorletPrice
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:128
Parameters
- effectiveFloor: Rate
Returns Real

floorletRate

floorletRate(effectiveFloor: Rate): Rate

Overrides FloatingRateCouponPricer.floorletRate
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:145
Parameters
- effectiveFloor: Rate
Returns Rate

flushCache

flushCache(): void

- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:150
Returns void

initialize

initialize(coupon: FloatingRateCoupon): void

Overrides FloatingRateCouponPricer.initialize
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:154
Parameters
- coupon: FloatingRateCoupon
Returns void

integrand

integrand(x: Real): Real

- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:356
Parameters
- x: Real
Returns Real

integrand_normal

integrand_normal(x: Real): Real

- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:392
Parameters
- x: Real
Returns Real

Private optionletPrice

optionletPrice(optionType: Type, strike: Real): Real

- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:306
Parameters
- optionType: Type
- strike: Real
Returns Real

setCorrelation

setCorrelation(correlation?: Handle<Quote>): void

Inherited from CmsSpreadCouponPricer.setCorrelation
- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:217
Parameters
- Default value correlation: Handle<Quote> = new Handle()
Returns void

swapletPrice

swapletPrice(): Real

Overrides FloatingRateCouponPricer.swapletPrice
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:94
Returns Real

swapletRate

swapletRate(): Rate

Overrides FloatingRateCouponPricer.swapletRate
- Defined in ql/experimental/coupons/lognormalcmsspreadpricer.ts:101
Returns Rate

update

update(): void

Inherited from OvernightIndexedCouponPricer.update

Overrides ObserverObservable.update
- Defined in ql/cashflows/couponpricer.ts:49
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

cmsPricer: CmsCouponPricer

correlation: Handle<Quote>

Default value couponDiscountCurve: Handle<YieldTermStructure> = new Handle()

Default value integrationPoints: Size = 16

Default value volatilityType: VolatilityType = null

Default value shift1: Real = QL_NULL_REAL

Default value shift2: Real = QL_NULL_REAL

Returns LognormalCmsSpreadPricer

Properties

Private _a

Private _adjustedRate1

Private _adjustedRate2

Private _alpha

Private _b

Private _c1

Private _c2

Private _cache

Private _cmsPricer

Private _cnd

Private _coupon

Private _couponDiscountCurve

Private _discount

Private _fixingDate

Private _fixingTime

Private _gearing

Private _gearing1

Private _gearing2

Private _index

Private _inheritedVolatilityType

Private _integrator

_isDisposed

Private _k

Private _m1

Private _m2

Private _mu1

Private _mu2

_observables

_observers

Private _optionType

Private _paymentDate

Private _phi

Private _privateObserver

Private _psi

Private _rho

Private _s1

Private _s2

Private _shift1

Private _shift2

Private _spread

Private _spreadLegValue

Private _swapRate1

Private _swapRate2

Private _today

Private _v1

Private _v2

Private _vol1

Private _vol2

Private _volType

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith