Digital-payoff coupon. More...

#include <digitalcoupon.hpp>

Inheritance diagram for DigitalCoupon:

Collaboration diagram for DigitalCoupon:

Public Member Functions
Constructors
	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...

Obverver interface
void	deepUpdate () override

LazyObject interface
void	performCalculations () const override

Coupon interface
Rate	rate () const override
	accrued rate More...

Rate	convexityAdjustment () const override
	convexity adjustment More...

Digital inspectors
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

Visitability
void	accept (AcyclicVisitor &) override

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 ()

Data members
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...

Rate	callPayoff () const

Rate	putPayoff () const

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 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

Digital-payoff coupon.

Implementation of a floating-rate coupon with digital call/put option. Payoffs:

Coupon with cash-or-nothing Digital Call rate + csi * payoffRate * Heaviside(rate-strike)
Coupon with cash-or-nothing Digital Put rate + csi * payoffRate * Heaviside(strike-rate) where csi=+1 or csi=-1.
Coupon with asset-or-nothing Digital Call rate + csi * rate * Heaviside(rate-strike)
Coupon with asset-or-nothing Digital Put rate + csi * rate * Heaviside(strike-rate) where csi=+1 or csi=-1. If nakedOption is true, the rate in the payoffs is set to zero. The evaluation of the coupon is made using the call/put spread replication method.

Tests:

Definition at line 79 of file digitalcoupon.hpp.

Constructor & Destructor Documentation

◆ 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

Definition at line 28 of file digitalcoupon.cpp.

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Member Function Documentation

◆ deepUpdate()

void deepUpdate ( )

overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 221 of file digitalcoupon.cpp.

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◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from CashFlow.

Definition at line 226 of file digitalcoupon.cpp.

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◆ rate()

Rate rate ( ) const

overridevirtual

accrued rate

Implements Coupon.

Definition at line 253 of file digitalcoupon.cpp.

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◆ convexityAdjustment()

Rate convexityAdjustment ( ) const

overridevirtual

convexity adjustment

Reimplemented from FloatingRateCoupon.

Definition at line 258 of file digitalcoupon.cpp.

◆ callStrike()

Rate callStrike ( ) const

Definition at line 262 of file digitalcoupon.cpp.

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◆ putStrike()

Rate putStrike ( ) const

Definition at line 269 of file digitalcoupon.cpp.

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◆ callDigitalPayoff()

Rate callDigitalPayoff ( ) const

Definition at line 276 of file digitalcoupon.cpp.

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◆ putDigitalPayoff()

Rate putDigitalPayoff ( ) const

Definition at line 283 of file digitalcoupon.cpp.

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◆ hasPut()

bool hasPut ( ) const

Definition at line 117 of file digitalcoupon.hpp.

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◆ hasCall()

bool hasCall ( ) const

Definition at line 118 of file digitalcoupon.hpp.

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◆ hasCollar()

bool hasCollar ( ) const

Definition at line 119 of file digitalcoupon.hpp.

◆ isLongPut()

bool isLongPut ( ) const

Definition at line 120 of file digitalcoupon.hpp.

◆ isLongCall()

bool isLongCall ( ) const

Definition at line 121 of file digitalcoupon.hpp.

◆ underlying()

ext::shared_ptr< FloatingRateCoupon > underlying ( ) const

Definition at line 122 of file digitalcoupon.hpp.

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◆ callOptionRate()

Rate callOptionRate ( ) const

Returns the call option rate (multiplied by: nominal*accrualperiod*discount is the NPV of the option)

Definition at line 179 of file digitalcoupon.cpp.

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◆ putOptionRate()

Rate putOptionRate ( ) const

Returns the put option rate (multiplied by: nominal*accrualperiod*discount is the NPV of the option)

Definition at line 200 of file digitalcoupon.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from Coupon.

Reimplemented in DigitalIborCoupon, and DigitalCmsSpreadCoupon.

Definition at line 290 of file digitalcoupon.cpp.

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◆ setPricer()

void setPricer ( const ext::shared_ptr< FloatingRateCouponPricer > & pricer )

overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 136 of file digitalcoupon.hpp.

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◆ callPayoff()

Rate callPayoff ( ) const

private

Definition at line 299 of file digitalcoupon.cpp.

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◆ putPayoff()

Rate putPayoff ( ) const

private

Definition at line 316 of file digitalcoupon.cpp.

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Member Data Documentation

◆ underlying_

ext::shared_ptr<FloatingRateCoupon> underlying_

protected

Definition at line 150 of file digitalcoupon.hpp.

◆ callStrike_

Rate callStrike_

protected

strike rate for the the call option

Definition at line 152 of file digitalcoupon.hpp.

◆ putStrike_

Rate putStrike_

protected

strike rate for the the put option

Definition at line 154 of file digitalcoupon.hpp.

◆ callCsi_

Real callCsi_ = 0.

protected

multiplicative factor of call payoff

Definition at line 156 of file digitalcoupon.hpp.

◆ putCsi_

Real putCsi_ = 0.

protected

multiplicative factor of put payoff

Definition at line 158 of file digitalcoupon.hpp.

◆ isCallATMIncluded_

bool isCallATMIncluded_

protected

inclusion flag og the call payoff if the call option ends at-the-money

Definition at line 160 of file digitalcoupon.hpp.

◆ isPutATMIncluded_

bool isPutATMIncluded_

protected

inclusion flag og the put payoff if the put option ends at-the-money

Definition at line 162 of file digitalcoupon.hpp.

◆ isCallCashOrNothing_

bool isCallCashOrNothing_ = false

protected

digital call option type: if true, cash-or-nothing, if false asset-or-nothing

Definition at line 164 of file digitalcoupon.hpp.

◆ isPutCashOrNothing_

bool isPutCashOrNothing_ = false

protected

digital put option type: if true, cash-or-nothing, if false asset-or-nothing

Definition at line 166 of file digitalcoupon.hpp.

◆ callDigitalPayoff_

Rate callDigitalPayoff_

protected

digital call option payoff rate, if any

Definition at line 168 of file digitalcoupon.hpp.

◆ putDigitalPayoff_

Rate putDigitalPayoff_

protected

digital put option payoff rate, if any

Definition at line 170 of file digitalcoupon.hpp.

◆ callLeftEps_

Real callLeftEps_

protected

the left and right gaps applied in payoff replication for call

Definition at line 172 of file digitalcoupon.hpp.

◆ callRightEps_

Real callRightEps_

protected

Definition at line 172 of file digitalcoupon.hpp.

◆ putLeftEps_

Real putLeftEps_

protected

the left and right gaps applied in payoff replication for put

Definition at line 174 of file digitalcoupon.hpp.

◆ putRightEps_

Real putRightEps_

protected

Definition at line 174 of file digitalcoupon.hpp.

◆ hasPutStrike_

bool hasPutStrike_ = false

protected

Definition at line 176 of file digitalcoupon.hpp.

◆ hasCallStrike_

bool hasCallStrike_ = false

protected

Definition at line 176 of file digitalcoupon.hpp.

◆ replicationType_

Replication::Type replicationType_

protected

Type of replication.

Definition at line 178 of file digitalcoupon.hpp.

◆ nakedOption_

bool nakedOption_

protected

underlying excluded from the payoff

Definition at line 180 of file digitalcoupon.hpp.

Public Member Functions

Data members

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DigitalCoupon()

Member Function Documentation

◆ deepUpdate()

◆ performCalculations()

◆ rate()

◆ convexityAdjustment()

◆ callStrike()

◆ putStrike()

◆ callDigitalPayoff()

◆ putDigitalPayoff()

◆ hasPut()

◆ hasCall()

◆ hasCollar()

◆ isLongPut()

◆ isLongCall()

◆ underlying()

◆ callOptionRate()

◆ putOptionRate()

◆ accept()

◆ setPricer()

◆ callPayoff()

◆ putPayoff()

Member Data Documentation

◆ underlying_

◆ callStrike_

◆ putStrike_

◆ callCsi_

◆ putCsi_

◆ isCallATMIncluded_

◆ isPutATMIncluded_

◆ isCallCashOrNothing_

◆ isPutCashOrNothing_

◆ callDigitalPayoff_

◆ putDigitalPayoff_

◆ callLeftEps_

◆ callRightEps_

◆ putLeftEps_

◆ putRightEps_

◆ hasPutStrike_

◆ hasCallStrike_

◆ replicationType_

◆ nakedOption_