37 const std::vector<Rate>& caps,
38 const std::vector<Rate>& floors,
40 Rate result =
get(spreads, i, 0.0);
43 result = std::max(floor, result);
46 result = std::min(cap, result);
51 const std::vector<Rate>& floors,
Floating rate coupon with additional cap/floor.
Cash flow vector builders.
template class providing a null value for a given type.
Coupon paying a fixed annual rate.
std::size_t Size
size of a container
base class for Inter-Bank-Offered-Rate indexes
T get(const std::vector< T > &v, Size i, U defaultValue)
Rate effectiveFixedRate(const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)
bool noOption(const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)