QuantLib_CapFloor man page

CapFloor — Base class for cap-like instruments.  

Synopsis

#include <ql/instruments/capfloor.hpp>

Inherits 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 > &disc, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, VolatilityType type=ShiftedLognormal, Real displacement=0.0) const
implied term volatility
QL_DEPRECATED Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &disc, Volatility guess, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol, Real displacement, VolatilityType type=ShiftedLognormal) const

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.

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages CapFloor(3), capRates(3), floorRates(3), lastFloatingRateCoupon(3) and optionlet(3) are aliases of QuantLib_CapFloor(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib