SubPeriodsCouponPricer1 Class Reference

Pricer for sub-period coupons. More...

#include <qle/cashflows/subperiodscouponpricer.hpp>

Inheritance diagram for SubPeriodsCouponPricer1:

Collaboration diagram for SubPeriodsCouponPricer1:

Public Member Functions
	SubPeriodsCouponPricer1 ()
void	initialize (const FloatingRateCoupon &coupon) override
Rate	swapletRate () const override
Real	swapletPrice () const override
Real	capletPrice (Rate) const override
Rate	capletRate (Rate) const override
Real	floorletPrice (Rate) const override
Rate	floorletRate (Rate) const override

Protected Attributes
Real	gearing_
Spread	spread_
Time	accrualPeriod_
QuantLib::ext::shared_ptr< InterestRateIndex >	index_
SubPeriodsCoupon1::Type	type_
bool	includeSpread_
const SubPeriodsCoupon1 *	coupon_

Detailed Description

Pricer for sub-period coupons.

Definition at line 38 of file subperiodscouponpricer.hpp.

Constructor & Destructor Documentation

SubPeriodsCouponPricer1()

SubPeriodsCouponPricer1

(

)

Definition at line 40 of file subperiodscouponpricer.hpp.

{}

Member Function Documentation

initialize()

void initialize ( const FloatingRateCoupon &  coupon )

override

Definition at line 23 of file subperiodscouponpricer.cpp.

                                                                         {
 
    coupon_ = dynamic_cast<const SubPeriodsCoupon1*>(&coupon);
    QL_REQUIRE(coupon_, "SubPeriodsCoupon required");
 
    index_ = QuantLib::ext::dynamic_pointer_cast<InterestRateIndex>(coupon_->index());
    QL_REQUIRE(index_, "InterestRateIndex required");
 
    gearing_ = coupon_->gearing();
    spread_ = coupon_->spread();
    accrualPeriod_ = coupon_->accrualPeriod();
    type_ = coupon_->type();
    includeSpread_ = coupon_->includeSpread();
}

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swapletRate()

Rate swapletRate ( ) const

override

Definition at line 38 of file subperiodscouponpricer.cpp.

                                                {
 
    std::vector<Time> accrualFractions = coupon_->accrualFractions();
    Size numPeriods = accrualFractions.size();
    Spread incSpread = includeSpread_ ? spread_ : 0.0;
    Spread excSpread = includeSpread_ ? 0.0 : spread_;
    Real accumulatedRate;
    Rate rate;
 
    std::vector<Rate> fixings = coupon_->indexFixings();
    if (type_ == SubPeriodsCoupon1::Averaging) {
        accumulatedRate = 0.0;
        for (Size i = 0; i < numPeriods; ++i) {
            accumulatedRate += (fixings[i] + incSpread) * accrualFractions[i];
        }
        rate = gearing_ * accumulatedRate / accrualPeriod_ + excSpread;
    } else if (type_ == SubPeriodsCoupon1::Compounding) {
        accumulatedRate = 1.0;
        for (Size i = 0; i < numPeriods; ++i) {
            accumulatedRate *= (1.0 + (fixings[i] + incSpread) * accrualFractions[i]);
        }
        rate = gearing_ * (accumulatedRate - 1.0) / accrualPeriod_ + excSpread;
    } else {
        QL_FAIL("Invalid sub-period coupon type");
    }
 
    return rate;
}

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swapletPrice()

Real swapletPrice ( ) const

override

Definition at line 45 of file subperiodscouponpricer.hpp.

{ QL_FAIL("swapletPrice not available"); }

capletPrice()

Real capletPrice ( Rate  ) const

override

Definition at line 46 of file subperiodscouponpricer.hpp.

{ QL_FAIL("capletPrice not available"); }

capletRate()

Rate capletRate ( Rate  ) const

override

Definition at line 47 of file subperiodscouponpricer.hpp.

{ QL_FAIL("capletRate not available"); }

floorletPrice()

Real floorletPrice ( Rate  ) const

override

Definition at line 48 of file subperiodscouponpricer.hpp.

{ QL_FAIL("floorletPrice not available"); }

floorletRate()

Rate floorletRate ( Rate  ) const

override

Definition at line 49 of file subperiodscouponpricer.hpp.

{ QL_FAIL("floorletRate not available"); }

Member Data Documentation

gearing_

Real gearing_

protected

Definition at line 52 of file subperiodscouponpricer.hpp.

spread_

Spread spread_

protected

Definition at line 53 of file subperiodscouponpricer.hpp.

accrualPeriod_

Time accrualPeriod_

protected

Definition at line 54 of file subperiodscouponpricer.hpp.

index_

QuantLib::ext::shared_ptr<InterestRateIndex> index_

protected

Definition at line 55 of file subperiodscouponpricer.hpp.

type_

SubPeriodsCoupon1::Type type_

protected

Definition at line 56 of file subperiodscouponpricer.hpp.

includeSpread_

bool includeSpread_

protected

Definition at line 57 of file subperiodscouponpricer.hpp.

coupon_

const SubPeriodsCoupon1* coupon_

protected

Definition at line 59 of file subperiodscouponpricer.hpp.