Table of Contents

Enum LinearTsrPricerSettingsStrategy

Namespace
NanoQL.Coupons
Assembly
NanoQL.dll

How the linear TSR pricer bounds its integration: QuantLib's LinearTsrPricer::Settings::Strategy.

public enum LinearTsrPricerSettingsStrategy

Fields

BSStdDevs = 3

A number of standard deviations of a Black-Scholes process at the at-the-money volatility.

PriceThreshold = 2

The strike where the undeflated payer or receiver price falls below a threshold.

RateBound = 0

The explicit lower and upper rate bounds.

VegaRatio = 1

The strike where a vanilla swaption's vega is a given ratio of the at-the-money one's.