lballabio/quantlib — pull request #74 by pcaspers (2014-01-24 19:25:53+00:00)
Title: LinearTSR Pricer for CMS Coupons

This implements a CMS coupon pricer as described in Andersen, Piterbarg, Interest Rate Modeling, 16.3.2. It respects the Put Call Parity and seems to be much faster than the numerical Hagan pricers. I included the new model in the existing test cases in the suite. Furthermore I checked the results against the recent implementation of the same model in Murex.