CappedFlooredCoupon Class Reference
#include <ql/cashflows/capflooredcoupon.hpp>
Inheritance diagram for CappedFlooredCoupon:

Detailed Description
Capped and/or floored floating-rate coupon.
The payoff of a capped floating-rate coupon is:
The payoff of a floored floating-rate coupon is:
The payoff of a collared floating-rate coupon is:
where is the notional,
is the accrual time,
is the floating rate,
is its gearing,
is the spread, and
and
the strikes.
They can be decomposed in the following manner. Decomposition of a capped floating rate coupon:
where . Then:
Visitability | |
boost::shared_ptr< FloatingRateCoupon > | underlying_ |
bool | isCapped_ |
bool | isFloored_ |
Rate | cap_ |
Rate | floor_ |
virtual void | accept (AcyclicVisitor &) |
bool | isCapped () const |
bool | isFloored () const |
void | setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer) |
Public Member Functions | |
CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) | |
Rate | cap () const |
cap | |
Rate | floor () const |
floor | |
Rate | effectiveCap () const |
effective cap of fixing | |
Rate | effectiveFloor () const |
effective floor of fixing | |
Coupon interface | |
Rate | rate () const |
accrued rate | |
Rate | convexityAdjustment () const |
convexity adjustment | |
Observer interface | |
void | update () |
Member Function Documentation
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from FloatingRateCoupon.