QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Public Member Functions | List of all members
Cap Class Reference

Concrete cap class. More...

#include <ql/instruments/capfloor.hpp>

+ Inheritance diagram for Cap:
+ Collaboration diagram for Cap:

Public Member Functions

 Cap (const Leg &floatingLeg, const std::vector< Rate > &exerciseRates)
 
- Public Member Functions inherited from CapFloor
 CapFloor (Type type, Leg floatingLeg, std::vector< Rate > capRates, std::vector< Rate > floorRates)
 
 CapFloor (Type type, Leg floatingLeg, const std::vector< Rate > &strikes)
 
void deepUpdate () override
 
bool isExpired () const override
 returns whether the instrument might have value greater than zero. More...
 
void setupArguments (PricingEngine::arguments *) const override
 
Type type () const
 
const std::vector< Rate > & capRates () const
 
const std::vector< Rate > & floorRates () const
 
const LegfloatingLeg () const
 
Date startDate () const
 
Date maturityDate () const
 
ext::shared_ptr< FloatingRateCouponlastFloatingRateCoupon () const
 
ext::shared_ptr< CapFlooroptionlet (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...
 
- 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 DatevaluationDate () const
 returns the date the net present value refers to. More...
 
template<typename 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- 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 CapFloor
enum  Type { Cap , Floor , Collar }
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- 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< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Concrete cap class.

Definition at line 108 of file capfloor.hpp.

Constructor & Destructor Documentation

◆ Cap()

Cap ( const Leg floatingLeg,
const std::vector< Rate > &  exerciseRates 
)

Definition at line 110 of file capfloor.hpp.