capRates (3) - Linux Manuals

capRates: Base class for cap-like instruments.

NAME

QuantLib::CapFloor - Base class for cap-like instruments.

SYNOPSIS

#include <ql/instruments/capfloor.hpp>

Inherits QuantLib::Instrument.

Inherited by Cap, Collar, and Floor.

Classes

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

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 is still tradable.
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.

Author

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