CapFloor Class Reference
[Financial instruments]
Base class for cap-like instruments.
More...
#include <ql/instruments/capfloor.hpp>
Inheritance diagram for CapFloor:

Classes | |
class | arguments |
Arguments for cap/floor calculation More... | |
class | engine |
base class for cap/floor engines More... | |
Public Types | |
enum | Type { Cap, Floor, Collar } |
Public Member Functions | |
CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates) | |
CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &strikes) | |
Rate | atmRate (const YieldTermStructure &discountCurve) const |
Volatility | impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
implied term volatility | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
Inspectors | |
Type | type () const |
const std::vector< Rate > & | capRates () const |
const std::vector< Rate > & | floorRates () const |
const Leg & | floatingLeg () const |
Date | startDate () const |
Date | maturityDate () const |
boost::shared_ptr < FloatingRateCoupon > | lastFloatingRateCoupon () const |
boost::shared_ptr< CapFloor > | optionlet (const Size n) const |
Returns the n-th optionlet as a new CapFloor with only one cash flow. |
Detailed Description
Base class for cap-like instruments.
- Tests:
- the correctness of the returned value is tested by checking that the price of a cap (resp. floor) decreases (resp. increases) with the strike rate.
- the relationship between the values of caps, floors and the resulting collars is checked.
- the put-call parity between the values of caps, floors and swaps is checked.
- the correctness of the returned implied volatility is tested by using it for reproducing the target value.
- the correctness of the returned value is tested by checking it against a known good value.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.