QuantLib: MeanRevertingPricer Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
MeanRevertingPricer Class Referenceabstract

`#include <ql/cashflows/couponpricer.hpp>`

Inheritance diagram for MeanRevertingPricer:
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## Public Member Functions
virtual Real | meanReversion () const =0
virtual void | setMeanReversion (const Handle< Quote > &)=0

## Detailed Description

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes