CapFloor Class Reference

#include <ql/Instruments/capfloor.hpp>

Inheritance diagram for CapFloor:

Inheritance graph
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List of all members.

Detailed Description

Base class for cap-like instruments.


Public Types

enum  Type { Cap, Floor, Collar }

Public Member Functions

 CapFloor (Type type, const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates, const RelinkableHandle< TermStructure > &termStructure, const Handle< PricingEngine > &engine)
void setupArguments (Arguments *) const
double impliedVolatility (double price, double accuracy=1.0e-4, Size maxEvaluations=100, double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_VOLATILITY) const
 implied term volatility

Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.

Inspectors
Type type () const
const std::vector< Handle<
CashFlow > > & 
leg () const
const std::vector< Rate > & capRates () const
const std::vector< Rate > & floorRates () const


Member Function Documentation

void setupArguments 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.


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