Reference manual - version qle_version
Public Member Functions | |
| CmsCapHelper (Date asof, QuantLib::ext::shared_ptr< SwapIndex > &index1, QuantLib::ext::shared_ptr< SwapIndex > &index2, const Handle< YieldTermStructure > &yts, const Handle< Quote > &price, const Handle< Quote > &correlation, const Period &length, const Period &forwardStart, const Period &spotDays, const Period &cmsTenor, Natural fixingDays, const Calendar &calendar, const DayCounter &daycounter, const BusinessDayConvention &convention, QuantLib::ext::shared_ptr< FloatingRateCouponPricer > &pricer, QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > &cmsPricer) | |
| void | performCalculations () const override |
| QuantLib::Real | marketValue () const |
| returns the actual price of the instrument (from volatility) | |
| QuantLib::Real | modelValue () const |
| returns the price of the instrument according to the model | |
| QuantLib::Real | calibrationError () override |
| returns the error resulting from the model valuation | |
Protected Attributes | |
| Date | asof_ |
| QuantLib::ext::shared_ptr< SwapIndex > | index1_ |
| QuantLib::ext::shared_ptr< SwapIndex > | index2_ |
| Handle< YieldTermStructure > | discountCurve_ |
| Real | marketValue_ |
| Handle< Quote > | correlation_ |
| Period | length_ |
| Period | forwardStart_ |
| Period | spotDays_ |
| Period | cmsTenor_ |
| Natural | fixingDays_ |
| Calendar | calendar_ |
| DayCounter | dayCounter_ |
| BusinessDayConvention | convention_ |
| QuantLib::ext::shared_ptr< FloatingRateCouponPricer > | pricer_ |
| QuantLib::ext::shared_ptr< QuantLib::CmsCouponPricer > | cmsPricer_ |
