Table of Contents

Enum CmsMarketCalibrationCalibrationType

Namespace
NanoQL.TermStructures
Assembly
NanoQL.dll

What a CMS market calibration fits: QuantLib's CmsMarketCalibration::CalibrationType.

public enum CmsMarketCalibrationCalibrationType

Fields

OnForwardCmsPrice = 2

The forward CMS legs' NPVs.

OnPrice = 1

The spot CMS legs' NPVs.

OnSpread = 0

The spreads over the Ibor leg.