QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Concrete floor class. More...
#include <capfloor.hpp>
Public Member Functions | |
Floor (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 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... | |
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 () |
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< PricingEngine > | engine_ |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
Concrete floor class.
Definition at line 118 of file capfloor.hpp.
Definition at line 120 of file capfloor.hpp.