Ibor rate coupon with digital digital call/put option. More...
#include <digitaliborcoupon.hpp>
Inheritance diagram for DigitalIborCoupon:
Collaboration diagram for DigitalIborCoupon:
Public Member Functions | |
| DigitalIborCoupon (const ext::shared_ptr< IborCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const ext::shared_ptr< DigitalReplication > &replication={}, bool nakedOption=false) | |
Visitability | |
| void | accept (AcyclicVisitor &) override |
| Public Member Functions inherited from DigitalCoupon | |
| DigitalCoupon (const ext::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), ext::shared_ptr< DigitalReplication > replication={}, bool nakedOption=false) | |
| general constructor More... | |
| void | deepUpdate () override |
| void | performCalculations () const override |
| Rate | rate () const override |
| accrued rate More... | |
| Rate | convexityAdjustment () const override |
| convexity adjustment More... | |
| Rate | callStrike () const |
| Rate | putStrike () const |
| Rate | callDigitalPayoff () const |
| Rate | putDigitalPayoff () const |
| bool | hasPut () const |
| bool | hasCall () const |
| bool | hasCollar () const |
| bool | isLongPut () const |
| bool | isLongCall () const |
| ext::shared_ptr< FloatingRateCoupon > | underlying () const |
| Rate | callOptionRate () const |
| Rate | putOptionRate () const |
| void | setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &pricer) override |
| Public Member Functions inherited from FloatingRateCoupon | |
| FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date()) | |
| void | performCalculations () const override |
| Real | amount () const override |
| returns the amount of the cash flow More... | |
| Rate | rate () const override |
| accrued rate More... | |
| Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
| DayCounter | dayCounter () const override |
| day counter for accrual calculation More... | |
| Real | accruedAmount (const Date &) const override |
| accrued amount at the given date More... | |
| const ext::shared_ptr< InterestRateIndex > & | index () const |
| floating index More... | |
| Natural | fixingDays () const |
| fixing days More... | |
| virtual Date | fixingDate () const |
| fixing date More... | |
| Real | gearing () const |
| index gearing, i.e. multiplicative coefficient for the index More... | |
| Spread | spread () const |
| spread paid over the fixing of the underlying index More... | |
| virtual Rate | indexFixing () const |
| fixing of the underlying index More... | |
| virtual Rate | adjustedFixing () const |
| convexity-adjusted fixing More... | |
| bool | isInArrears () const |
| whether or not the coupon fixes in arrears More... | |
| void | accept (AcyclicVisitor &) override |
| ext::shared_ptr< FloatingRateCouponPricer > | pricer () const |
| Public Member Functions inherited from Coupon | |
| Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date()) | |
| Date | date () const override |
| Date | exCouponDate () const override |
| returns the date that the cash flow trades exCoupon More... | |
| virtual Real | nominal () const |
| const Date & | accrualStartDate () const |
| start of the accrual period More... | |
| const Date & | accrualEndDate () const |
| end of the accrual period More... | |
| const Date & | referencePeriodStart () const |
| start date of the reference period More... | |
| const Date & | referencePeriodEnd () const |
| end date of the reference period More... | |
| Time | accrualPeriod () const |
| accrual period as fraction of year More... | |
| Date::serial_type | accrualDays () const |
| accrual period in days More... | |
| Time | accruedPeriod (const Date &) const |
| accrued period as fraction of year at the given date More... | |
| Date::serial_type | accruedDays (const Date &) const |
| accrued days at the given date More... | |
| Public Member Functions inherited from CashFlow | |
| ~CashFlow () override=default | |
| bool | hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override |
| returns true if an event has already occurred before a date More... | |
| bool | tradingExCoupon (const Date &refDate=Date()) const |
| returns true if the cashflow is trading ex-coupon on the refDate More... | |
| Public Member Functions inherited from Event | |
| ~Event () override=default | |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from FloatingRateCoupon | |
| Rate | convexityAdjustmentImpl (Rate fixing) const |
| convexity adjustment for the given index fixing More... | |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Attributes inherited from DigitalCoupon | |
| ext::shared_ptr< FloatingRateCoupon > | underlying_ |
| Rate | callStrike_ |
| strike rate for the the call option More... | |
| Rate | putStrike_ |
| strike rate for the the put option More... | |
| Real | callCsi_ = 0. |
| multiplicative factor of call payoff More... | |
| Real | putCsi_ = 0. |
| multiplicative factor of put payoff More... | |
| bool | isCallATMIncluded_ |
| inclusion flag og the call payoff if the call option ends at-the-money More... | |
| bool | isPutATMIncluded_ |
| inclusion flag og the put payoff if the put option ends at-the-money More... | |
| bool | isCallCashOrNothing_ = false |
| digital call option type: if true, cash-or-nothing, if false asset-or-nothing More... | |
| bool | isPutCashOrNothing_ = false |
| digital put option type: if true, cash-or-nothing, if false asset-or-nothing More... | |
| Rate | callDigitalPayoff_ |
| digital call option payoff rate, if any More... | |
| Rate | putDigitalPayoff_ |
| digital put option payoff rate, if any More... | |
| Real | callLeftEps_ |
| the left and right gaps applied in payoff replication for call More... | |
| Real | callRightEps_ |
| Real | putLeftEps_ |
| the left and right gaps applied in payoff replication for put More... | |
| Real | putRightEps_ |
| bool | hasPutStrike_ = false |
| bool | hasCallStrike_ = false |
| Replication::Type | replicationType_ |
| Type of replication. More... | |
| bool | nakedOption_ |
| underlying excluded from the payoff More... | |
| Protected Attributes inherited from FloatingRateCoupon | |
| ext::shared_ptr< InterestRateIndex > | index_ |
| DayCounter | dayCounter_ |
| Natural | fixingDays_ |
| Real | gearing_ |
| Spread | spread_ |
| bool | isInArrears_ |
| ext::shared_ptr< FloatingRateCouponPricer > | pricer_ |
| Real | rate_ |
| Protected Attributes inherited from Coupon | |
| Date | paymentDate_ |
| Real | nominal_ |
| Date | accrualStartDate_ |
| Date | accrualEndDate_ |
| Date | refPeriodStart_ |
| Date | refPeriodEnd_ |
| Date | exCouponDate_ |
| Real | accrualPeriod_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Ibor rate coupon with digital digital call/put option.
Definition at line 36 of file digitaliborcoupon.hpp.
Constructor & Destructor Documentation
◆ DigitalIborCoupon()
| DigitalIborCoupon | ( | const ext::shared_ptr< IborCoupon > & | underlying, |
| Rate | callStrike = Null<Rate>(), |
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| Position::Type | callPosition = Position::Long, |
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| bool | isCallATMIncluded = false, |
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| Rate | callDigitalPayoff = Null<Rate>(), |
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| Rate | putStrike = Null<Rate>(), |
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| Position::Type | putPosition = Position::Long, |
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| bool | isPutATMIncluded = false, |
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| Rate | putDigitalPayoff = Null<Rate>(), |
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| const ext::shared_ptr< DigitalReplication > & | replication = {}, |
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| bool | nakedOption = false |
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| ) |
Definition at line 28 of file digitaliborcoupon.cpp.
Member Function Documentation
◆ accept()
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overridevirtual |
Reimplemented from DigitalCoupon.
Definition at line 44 of file digitaliborcoupon.cpp.
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