CmsSpreadCouponPricer2 Class Reference

base pricer for vanilla CMS spread coupons with a correlation surface More...

#include <qle/cashflows/lognormalcmsspreadpricer.hpp>

Inheritance diagram for CmsSpreadCouponPricer2:

Public Member Functions
	CmsSpreadCouponPricer2 (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())
Real	correlation (Time t, Real strike=1) const
void	setCorrelationCurve (const Handle< CorrelationTermStructure > &correlation=Handle< CorrelationTermStructure >())

Detailed Description

base pricer for vanilla CMS spread coupons with a correlation surface