QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | List of all members
DigitalCmsSpreadCoupon Class Reference

Cms-spread-rate coupon with digital digital call/put option. More...

#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>

+ Inheritance diagram for DigitalCmsSpreadCoupon:
+ Collaboration diagram for DigitalCmsSpreadCoupon:

Public Member Functions

 DigitalCmsSpreadCoupon (const ext::shared_ptr< CmsSpreadCoupon > &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< FloatingRateCouponunderlying () 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...
 
ext::shared_ptr< FloatingRateCouponPricerpricer () 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 DateaccrualStartDate () const
 start of the accrual period More...
 
const DateaccrualEndDate () const
 end of the accrual period More...
 
const DatereferencePeriodStart () const
 start date of the reference period More...
 
const DatereferencePeriodEnd () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< FloatingRateCouponunderlying_
 
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< InterestRateIndexindex_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
Real gearing_
 
Spread spread_
 
bool isInArrears_
 
ext::shared_ptr< FloatingRateCouponPricerpricer_
 
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

Cms-spread-rate coupon with digital digital call/put option.

Definition at line 34 of file digitalcmsspreadcoupon.hpp.

Constructor & Destructor Documentation

◆ DigitalCmsSpreadCoupon()

DigitalCmsSpreadCoupon ( const ext::shared_ptr< CmsSpreadCoupon > &  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 
)
explicit

Definition at line 26 of file digitalcmsspreadcoupon.cpp.

Member Function Documentation

◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from DigitalCoupon.

Definition at line 42 of file digitalcmsspreadcoupon.cpp.

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