Capped and/or floored floating-rate coupon. More...
#include <capflooredcoupon.hpp>
Inheritance diagram for CappedFlooredCoupon:
Collaboration 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 More... | |
| Rate | convexityAdjustment () const override |
| convexity adjustment More... | |
| Rate | cap () const |
| cap More... | |
| Rate | floor () const |
| floor More... | |
| Rate | effectiveCap () const |
| effective cap of fixing More... | |
| Rate | effectiveFloor () const |
| effective floor of fixing More... | |
| 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 More... | |
| Rate | rate () const override |
| accrued rate More... | |
| Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
| DayCounter | dayCounter () const override |
| day counter for accrual calculation More... | |
| Real | accruedAmount (const Date &) const override |
| accrued amount at the given date More... | |
| const ext::shared_ptr< InterestRateIndex > & | index () const |
| floating index More... | |
| Natural | fixingDays () const |
| fixing days More... | |
| virtual Date | fixingDate () const |
| fixing date More... | |
| Real | gearing () const |
| index gearing, i.e. multiplicative coefficient for the index More... | |
| Spread | spread () const |
| spread paid over the fixing of the underlying index More... | |
| virtual Rate | indexFixing () const |
| fixing of the underlying index More... | |
| virtual Rate | adjustedFixing () const |
| convexity-adjusted fixing More... | |
| bool | isInArrears () const |
| whether or not the coupon fixes in arrears More... | |
| 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 More... | |
| virtual Real | nominal () const |
| const Date & | accrualStartDate () const |
| start of the accrual period More... | |
| const Date & | accrualEndDate () const |
| end of the accrual period More... | |
| const Date & | referencePeriodStart () const |
| start date of the reference period More... | |
| const Date & | referencePeriodEnd () const |
| end date of the reference period More... | |
| Time | accrualPeriod () const |
| accrual period as fraction of year More... | |
| Date::serial_type | accrualDays () const |
| accrual period in days More... | |
| Time | accruedPeriod (const Date &) const |
| accrued period as fraction of year at the given date More... | |
| Date::serial_type | accruedDays (const Date &) const |
| accrued days at the given date More... | |
| Public Member Functions inherited from CashFlow | |
| ~CashFlow () override=default | |
| 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 More... | |
| bool | tradingExCoupon (const Date &refDate=Date()) const |
| returns true if the cashflow is trading ex-coupon on the refDate More... | |
| Public Member Functions inherited from Event | |
| ~Event () override=default | |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| 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 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 () |
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 |
| Protected Member Functions inherited from FloatingRateCoupon | |
| Rate | convexityAdjustmentImpl (Rate fixing) const |
| convexity adjustment for the given index fixing More... | |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Attributes inherited from FloatingRateCoupon | |
| ext::shared_ptr< InterestRateIndex > | index_ |
| DayCounter | dayCounter_ |
| Natural | fixingDays_ |
| Real | gearing_ |
| Spread | spread_ |
| bool | isInArrears_ |
| ext::shared_ptr< FloatingRateCouponPricer > | pricer_ |
| Real | rate_ |
| Protected Attributes inherited from Coupon | |
| Date | paymentDate_ |
| Real | nominal_ |
| Date | accrualStartDate_ |
| Date | accrualEndDate_ |
| Date | refPeriodStart_ |
| Date | refPeriodEnd_ |
| Date | exCouponDate_ |
| Real | accrualPeriod_ |
| Protected Attributes inherited from LazyObject | |
| 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:
\[ R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0) \]
Definition at line 57 of file capflooredcoupon.hpp.
Constructor & Destructor Documentation
◆ CappedFlooredCoupon()
| CappedFlooredCoupon | ( | const ext::shared_ptr< FloatingRateCoupon > & | underlying, |
| Rate | cap = Null<Rate>(), |
||
| Rate | floor = Null<Rate>() |
||
| ) |
Member Function Documentation
◆ 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.
Definition at line 80 of file capflooredcoupon.cpp.
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◆ performCalculations()
|
overridevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from CashFlow.
Definition at line 85 of file capflooredcoupon.cpp.
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◆ rate()
|
overridevirtual |
accrued rate
Implements Coupon.
Definition at line 97 of file capflooredcoupon.cpp.
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◆ convexityAdjustment()
|
overridevirtual |
convexity adjustment
Reimplemented from FloatingRateCoupon.
Definition at line 102 of file capflooredcoupon.cpp.
◆ cap()
| Rate cap | ( | ) | const |
cap
Definition at line 106 of file capflooredcoupon.cpp.
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◆ floor()
| Rate floor | ( | ) | const |
floor
Definition at line 114 of file capflooredcoupon.cpp.
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◆ effectiveCap()
| Rate effectiveCap | ( | ) | const |
effective cap of fixing
Definition at line 122 of file capflooredcoupon.cpp.
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◆ effectiveFloor()
| Rate effectiveFloor | ( | ) | const |
effective floor of fixing
Definition at line 129 of file capflooredcoupon.cpp.
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◆ accept()
|
overridevirtual |
Reimplemented from CashFlow.
Reimplemented in CappedFlooredIborCoupon, CappedFlooredCmsCoupon, and CappedFlooredCmsSpreadCoupon.
Definition at line 136 of file capflooredcoupon.cpp.
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◆ isCapped()
| bool isCapped | ( | ) | const |
Definition at line 89 of file capflooredcoupon.hpp.
◆ isFloored()
| bool isFloored | ( | ) | const |
Definition at line 90 of file capflooredcoupon.hpp.
◆ setPricer()
|
overridevirtual |
Reimplemented from FloatingRateCoupon.
Definition at line 74 of file capflooredcoupon.cpp.
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◆ underlying()
| ext::shared_ptr< FloatingRateCoupon > underlying | ( | ) |
Definition at line 94 of file capflooredcoupon.hpp.
Member Data Documentation
◆ underlying_
|
protected |
Definition at line 98 of file capflooredcoupon.hpp.
◆ isCapped_
|
protected |
Definition at line 99 of file capflooredcoupon.hpp.
◆ isFloored_
|
protected |
Definition at line 99 of file capflooredcoupon.hpp.
◆ cap_
|
protected |
Definition at line 100 of file capflooredcoupon.hpp.
◆ floor_
|
protected |
Definition at line 100 of file capflooredcoupon.hpp.