strippedcapflooredcoupon.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2014 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file strippedcapflooredcoupon.hpp
    \brief strips the embedded option from cap floored coupons
*/
 
#ifndef quantlib_stripped_capfloored_coupon_hpp
#define quantlib_stripped_capfloored_coupon_hpp
 
#include <ql/cashflows/capflooredcoupon.hpp>
 
namespace QuantLib {
 
    class StrippedCappedFlooredCoupon : public FloatingRateCoupon {
 
    public:
 
        explicit StrippedCappedFlooredCoupon(const ext::shared_ptr<CappedFlooredCoupon> &underlying);
 
        //! \name Obverver interface
        //@{
        void deepUpdate() override;
        //@}
 
        //! \name LazyObject interface
        //@{
        void performCalculations() const override;
        //@}
        //! Coupon interface
        Rate rate() const override;
        Rate convexityAdjustment() const override;
        //! cap
        Rate cap() const;
        //! floor
        Rate floor() const;
        //! effective cap
        Rate effectiveCap() const;
        //! effective floor
        Rate effectiveFloor() const;
 
        //! Visitability
        void accept(AcyclicVisitor&) override;
 
        bool isCap() const;
        bool isFloor() const;
        bool isCollar() const;
 
        void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>& pricer) override;
 
        ext::shared_ptr<CappedFlooredCoupon> underlying() { return underlying_; }
 
      protected:
        ext::shared_ptr<CappedFlooredCoupon> underlying_;
 
    };
 
    class StrippedCappedFlooredCouponLeg {
      public:
        explicit StrippedCappedFlooredCouponLeg(Leg underlyingLeg);
        operator Leg() const;
      private:
        Leg underlyingLeg_;
    };
 
}
 
 
#endif