CapFloor Class Reference

Base class for cap-like instruments. More...

#include <ql/instruments/capfloor.hpp>

Inheritance diagram for CapFloor:

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

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 > &disc, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, Real displacement=0.0) const
	implied term volatility
Instrument interface
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
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.
Public Member Functions inherited from Instrument
virtual void	fetchResults (const PricingEngine::results *) const
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const boost::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Additional Inherited Members
Protected Member Functions inherited from Instrument
void	calculate () const
virtual void	setupExpired () const
virtual void	performCalculations () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngine >	engine_
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_

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.