CapFloor Class Reference
[Financial instruments]

#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.

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.


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, const Handle< YieldTermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine)
 CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &strikes, const Handle< YieldTermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine)
Volatility impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 implied term volatility
Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const
Inspectors
Type type () const
const Leg & leg () const
const std::vector< Rate > & capRates () const
const std::vector< Rate > & floorRates () const
const Leg & floatingLeg () const
Rate atmRate () const
Date startDate () const
Date maturityDate () const
Date lastFixingDate () const

Classes

class  arguments
 Arguments for cap/floor calculation More...
class  engine
 base class for cap/floor engines More...