QuantLib_CapFloor (3) - Linux Manuals
QuantLib_CapFloor: Base class for cap-like instruments.
QuantLib::CapFloor - Base class for cap-like instruments.
Inherited by Cap, Collar, and Floor.
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
bool isExpired () const
returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const
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.
Base class for cap-like instruments.
- 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.
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