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 ext::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())
Observer interface
void	deepUpdate () override
LazyObject interface
void	performCalculations () const override
Coupon interface
Rate	rate () const override
	accrued rate
Rate	convexityAdjustment () const override
	convexity adjustment
Rate	cap () const
	cap
Rate	floor () const
	floor
Rate	effectiveCap () const
	effective cap of fixing
Rate	effectiveFloor () const
	effective floor of fixing
Public Member Functions inherited from FloatingRateCoupon
	FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
void	performCalculations () const override
Real	amount () const override
	returns the amount of the cash flow
Rate	rate () const override
	accrued rate
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
const ext::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	accept (AcyclicVisitor &) override
ext::shared_ptr< FloatingRateCouponPricer >	pricer () const
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(), const Date &exCouponDate=Date())
Date	date () const override
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
virtual 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
Date::serial_type	accrualDays () const
	accrual period in days
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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 ()

Visitability
ext::shared_ptr< FloatingRateCoupon >	underlying_
bool	isCapped_ = false
bool	isFloored_ = false
Rate	cap_
Rate	floor_
void	accept (AcyclicVisitor &) override
bool	isCapped () const
bool	isFloored () const
void	setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &pricer) override
ext::shared_ptr< FloatingRateCoupon >	underlying ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing
virtual void	calculate () const
ext::shared_ptr< InterestRateIndex >	index_
DayCounter	dayCounter_
Natural	fixingDays_
Real	gearing_
Spread	spread_
bool	isInArrears_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
Real	rate_
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

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.

They can be decomposed in the following manner. Decomposition of a capped floating rate coupon:

\[R = \min(a L + b, C) = (a L + b) + \min(C - b - \xi |a| L, 0) \]

where \( \xi = sgn(a) \). Then:

\[R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0) \]

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.

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

rate()

Rate rate ( ) const

overridevirtual

accrued rate

Implements Coupon.

convexityAdjustment()

Rate convexityAdjustment ( ) const

overridevirtual

convexity adjustment

Reimplemented from FloatingRateCoupon.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from Event.

setPricer()

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

overridevirtual

Reimplemented from FloatingRateCoupon.