Rechercher une page de manuel
QuantLib_CappedFlooredYoYInflationCoupon
Langue: en
Version: 380490 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::CappedFlooredYoYInflationCoupon -Capped or floored inflation coupon.
SYNOPSIS
#include <ql/cashflows/capflooredinflationcoupon.hpp>
Inherits QuantLib::YoYInflationCoupon.
Public Member Functions
CappedFlooredYoYInflationCoupon (const boost::shared_ptr< YoYInflationCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())
CappedFlooredYoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Rate cap=Null< Rate >(), const Rate floor=Null< Rate >(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
bool isCapped () const
bool isFloored () const
void setPricer (const boost::shared_ptr< YoYInflationCouponPricer > &)
augmented Coupon interface
Rate rate () const
swap(let) rate
Rate cap () const
cap
Rate floor () const
floor
Rate effectiveCap () const
effective cap of fixing
Rate effectiveFloor () const
effective floor of fixing
Observer interface
void update ()
Visitability
virtual void accept (AcyclicVisitor &v)
Protected Member Functions
virtual void setCommon (Rate cap, Rate floor)
Protected Attributes
boost::shared_ptr< YoYInflationCoupon > underlying_
bool isFloored_
bool isCapped_
Rate cap_
Rate floor_
Detailed Description
Capped or floored inflation coupon.
Essentially a copy of the nominal version but taking a different index and a set of pricers (not just one).
The payoff $ P $ of a capped inflation-rate coupon with paysWithin = true is:
[ P = N imes T imes min(a L + b, C). ].PP where $ N $ is the notional, $ T $ is the accrual time, $ L $ is the inflation rate, $ a $ is its gearing, $ b $ is the spread, and $ C $ and $ F $ the strikes.
The payoff of a floored inflation-rate coupon is:
[ P = N imes T imes max(a L + b, F). ].PP The payoff of a collared inflation-rate coupon is:
[ P = N imes T imes min(max(a L + b, F), C). ].PP If paysWithin = false then the inverse is returned (this provides for instrument cap and caplet prices).
They can be decomposed in the following manner. Decomposition of a capped floating rate coupon when paysWithin = true: [ R = min(a L + b, C) = (a L + b) + min(C - b - on"
void update () [virtual]This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from InflationCoupon.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre