Base class for cap-like instruments. More...

#include <capfloor.hpp>

Inheritance diagram for CapFloor:

Collaboration diagram for CapFloor:

Classes
class	arguments
	Arguments for cap/floor calculation More...

class	engine
	base class for cap/floor engines More...

Public Types
enum	Type { Cap , Floor , Collar }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	CapFloor (Type type, Leg floatingLeg, std::vector< Rate > capRates, std::vector< Rate > floorRates)

	CapFloor (Type type, Leg floatingLeg, const std::vector< Rate > &strikes)

Observable interface
void	deepUpdate () override

Instrument interface
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

void	setupArguments (PricingEngine::arguments *) const override

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

virtual void	fetchResults (const PricingEngine::results *) const

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 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 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 ()

Inspectors
Type	type_

Leg	floatingLeg_

std::vector< Rate >	capRates_

std::vector< Rate >	floorRates_

Type	type () const

const std::vector< Rate > &	capRates () const

const std::vector< Rate > &	floorRates () const

const Leg &	floatingLeg () const

Date	startDate () const

Date	maturityDate () const

ext::shared_ptr< FloatingRateCoupon >	lastFloatingRateCoupon () const

ext::shared_ptr< CapFloor >	optionlet (Size n) const
	Returns the n-th optionlet as a new CapFloor with only one cash flow. More...

Rate	atmRate (const YieldTermStructure &discountCurve) const

Volatility	impliedVolatility (Real price, const Handle< YieldTermStructure > &disc, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, VolatilityType type=ShiftedLognormal, Real displacement=0.0) const
	implied term volatility More...

Additional Inherited Members
Protected Member Functions inherited from Instrument
void	calculate () const override

virtual void	setupExpired () const

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Base class for cap-like instruments.

Tests:

the correctness of the returned value is tested by checking that the price of a cap (resp. floor) decreases (resp. increases) with the strike rate.
the relationship between the values of caps, floors and the resulting collars is checked.
the put-call parity between the values of caps, floors and swaps is checked.
the correctness of the returned implied volatility is tested by using it for reproducing the target value.
the correctness of the returned value is tested by checking it against a known good value.

Definition at line 55 of file capfloor.hpp.

Member Enumeration Documentation

◆ Type

enum Type

Enumerator
Cap
Floor
Collar

Definition at line 57 of file capfloor.hpp.

Constructor & Destructor Documentation

◆ CapFloor() [1/2]

CapFloor	(	CapFloor::Type	type,
		Leg	floatingLeg,
		std::vector< Rate >	capRates,
		std::vector< Rate >	floorRates
	)

Definition at line 124 of file capfloor.cpp.

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◆ CapFloor() [2/2]

CapFloor	(	CapFloor::Type	type,
		Leg	floatingLeg,
		const std::vector< Rate > &	strikes
	)

Definition at line 149 of file capfloor.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 271 of file capfloor.cpp.

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◆ isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 172 of file capfloor.cpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 210 of file capfloor.cpp.

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◆ type()

Type type ( ) const

Definition at line 76 of file capfloor.hpp.

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◆ capRates()

const std::vector< Rate > & capRates ( ) const

Definition at line 77 of file capfloor.hpp.

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◆ floorRates()

const std::vector< Rate > & floorRates ( ) const

Definition at line 78 of file capfloor.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 79 of file capfloor.hpp.

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◆ startDate()

Date startDate ( ) const

Definition at line 179 of file capfloor.cpp.

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◆ maturityDate()

Date maturityDate ( ) const

Definition at line 183 of file capfloor.cpp.

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◆ lastFloatingRateCoupon()

ext::shared_ptr< FloatingRateCoupon > lastFloatingRateCoupon ( ) const

Definition at line 188 of file capfloor.cpp.

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◆ optionlet()

ext::shared_ptr< CapFloor > optionlet ( Size n ) const

Returns the n-th optionlet as a new CapFloor with only one cash flow.

Definition at line 195 of file capfloor.cpp.

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◆ atmRate()

Rate atmRate ( const YieldTermStructure & discountCurve ) const

Definition at line 315 of file capfloor.cpp.

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◆ impliedVolatility()

Volatility impliedVolatility	(	Real	price,
		const Handle< YieldTermStructure > &	disc,
		Volatility	guess,
		Real	accuracy = `1.0e-4`,
		Natural	maxEvaluations = `100`,
		Volatility	minVol = `1.0e-7`,
		Volatility	maxVol = `4.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)		const

implied term volatility

Definition at line 323 of file capfloor.cpp.

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Member Data Documentation

◆ type_

Type type_

private

Definition at line 100 of file capfloor.hpp.

◆ floatingLeg_

Leg floatingLeg_

private

Definition at line 101 of file capfloor.hpp.

◆ capRates_

std::vector<Rate> capRates_

private

Definition at line 102 of file capfloor.hpp.

◆ floorRates_

std::vector<Rate> floorRates_

private

Definition at line 103 of file capfloor.hpp.

Classes

Public Types

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ CapFloor() [1/2]

◆ CapFloor() [2/2]

Member Function Documentation

◆ deepUpdate()

◆ isExpired()

◆ setupArguments()

◆ type()

◆ capRates()

◆ floorRates()

◆ floatingLeg()

◆ startDate()

◆ maturityDate()

◆ lastFloatingRateCoupon()

◆ optionlet()

◆ atmRate()

◆ impliedVolatility()

Member Data Documentation

◆ type_

◆ floatingLeg_

◆ capRates_

◆ floorRates_