CappedFlooredCoupon Class Reference

Capped and/or floored floating-rate coupon. More...

#include <ql/cashflows/capflooredcoupon.hpp>

Inheritance diagram for CappedFlooredCoupon:

Public Member Functions
	CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())

Rate	cap () const
	cap

Rate	floor () const
	floor

Rate	effectiveCap () const
	effective cap of fixing

Rate	effectiveFloor () const
	effective floor of fixing

Coupon interface
Rate	rate () const
	accrued rate

Rate	convexityAdjustment () const
	convexity adjustment

Observer interface
void	update ()

Public Member Functions inherited from FloatingRateCoupon
	FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false)

void	setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &)

boost::shared_ptr < FloatingRateCouponPricer >	pricer () const

Real	amount () const
	returns the amount of the cash flow More...

Rate	rate () const
	accrued rate

Real	price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter	dayCounter () const
	day counter for accrual calculation

Real	accruedAmount (const Date &) const
	accrued amount at the given date

const boost::shared_ptr < InterestRateIndex > &	index () const
	floating index

Natural	fixingDays () const
	fixing days

virtual Date	fixingDate () const
	fixing date

Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index

Spread	spread () const
	spread paid over the fixing of the underlying index

virtual Rate	indexFixing () const
	fixing of the underlying index

virtual Rate	adjustedFixing () const
	convexity-adjusted fixing

bool	isInArrears () const
	whether or not the coupon fixes in arrears

void	update ()

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())

Date	date () const

Real	nominal () const

const Date &	accrualStartDate () const
	start of the accrual period

const Date &	accrualEndDate () const
	end of the accrual period

const Date &	referencePeriodStart () const
	start date of the reference period

const Date &	referencePeriodEnd () const
	end date of the reference period

Time	accrualPeriod () const
	accrual period as fraction of year

BigInteger	accrualDays () const
	accrual period in days

Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date

BigInteger	accruedDays (const Date &) const
	accrued days at the given date

Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
	returns true if an event has already occurred before a date More...

Event interface
Visitability
Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const Observer &)

std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)

Size	unregisterWith (const boost::shared_ptr< Observable > &)

void	unregisterWithAll ()

Visitability
boost::shared_ptr < FloatingRateCoupon >	underlying_

bool	isCapped_

bool	isFloored_

Rate	cap_

Rate	floor_

virtual void	accept (AcyclicVisitor &)

bool	isCapped () const

bool	isFloored () const

void	setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer)

Additional Inherited Members
Protected Member Functions inherited from FloatingRateCoupon
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing

Protected Attributes inherited from FloatingRateCoupon
boost::shared_ptr < InterestRateIndex >	index_

DayCounter	dayCounter_

Natural	fixingDays_

Real	gearing_

Spread	spread_

bool	isInArrears_

boost::shared_ptr < FloatingRateCouponPricer >	pricer_

Protected Attributes inherited from Coupon
Date	paymentDate_

Real	nominal_

Date	accrualStartDate_

Date	accrualEndDate_

Date	refPeriodStart_

Date	refPeriodEnd_

Detailed Description

Capped and/or floored floating-rate coupon.

The payoff $ P $ of a capped floating-rate coupon is:

$P = N \times T \times \min(a L + b, C).$

The payoff of a floored floating-rate coupon is:

$P = N \times T \times \max(a L + b, F).$

The payoff of a collared floating-rate coupon is:

$P = N \times T \times \min(\max(a L + b, F), C).$

where $ N $ is the notional, $ T $ is the accrual time, $ L $ is the floating rate, $ a $ is its gearing, $ b $ is the spread, and $ C $ and $ F $ the strikes.