CappedFlooredCoupon (3) - Linux Manuals
CappedFlooredCoupon: Capped and/or floored floating-rate coupon.
QuantLib::CappedFlooredCoupon - Capped and/or floored floating-rate coupon.
Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon.
Public Member Functions
CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())
Rate cap () const
Rate floor () const
Rate effectiveCap () const
effective cap of fixing
Rate effectiveFloor () const
effective floor of fixing
Rate rate () const
Rate convexityAdjustment () const
boost::shared_ptr< FloatingRateCoupon > underlying_
virtual void accept (AcyclicVisitor &)
bool isCapped () const
bool isFloored () const
void setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer)
Capped and/or floored floating-rate coupon.
The payoff $ P $ of a capped floating-rate coupon is: [ P = N imes T imes min(a L + b, C). ] The payoff of a floored floating-rate coupon is: [ P = N imes T imes max(a L + b, F). ] The payoff of a collared floating-rate coupon is: [ P = N imes T imes min(max(a L + b, F), C). ]
where $ N $ is the notional, $ T $ is the accrual time, $ L $ is the floating rate, $ a $ is its gearing, $ b $ is the spread, and $ C $ and $ F $ the strikes.
They can be decomposed in the following manner. Decomposition of a capped floating rate coupon: [ R = min(a L + b, C) = (a L + b) + min(C - b - on"
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.
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