Ibor rate coupon with digital digital call/put option. More...
#include <ql/cashflows/digitaliborcoupon.hpp>
Public Member Functions | |
DigitalIborCoupon (const boost::shared_ptr< IborCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >(new DigitalReplication)) | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
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DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) | |
general constructor | |
Rate | rate () const |
accrued rate | |
Rate | convexityAdjustment () const |
convexity adjustment | |
Rate | callStrike () const |
Rate | putStrike () const |
Rate | callDigitalPayoff () const |
Rate | putDigitalPayoff () const |
bool | hasPut () const |
bool | hasCall () const |
bool | hasCollar () const |
bool | isLongPut () const |
bool | isLongCall () const |
boost::shared_ptr< FloatingRateCoupon > | underlying () const |
Rate | callOptionRate () const |
Rate | putOptionRate () const |
void | update () |
void | setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer) |
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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 () |
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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 |
Date | exCouponDate () const |
returns the date that the cash flow trades exCoupon | |
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 | |
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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... | |
bool | tradingExCoupon (const Date &refDate=Date()) const |
returns true if the cashflow is trading ex-coupon on the refDate | |
Event interface | |
Visitability | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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Rate | convexityAdjustmentImpl (Rate fixing) const |
convexity adjustment for the given index fixing | |
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boost::shared_ptr< FloatingRateCoupon > | underlying_ |
Rate | callStrike_ |
strike rate for the the call option | |
Rate | putStrike_ |
strike rate for the the put option | |
Real | callCsi_ |
multiplicative factor of call payoff | |
Real | putCsi_ |
multiplicative factor of put payoff | |
bool | isCallATMIncluded_ |
inclusion flag og the call payoff if the call option ends at-the-money | |
bool | isPutATMIncluded_ |
inclusion flag og the put payoff if the put option ends at-the-money | |
bool | isCallCashOrNothing_ |
digital call option type: if true, cash-or-nothing, if false asset-or-nothing | |
bool | isPutCashOrNothing_ |
digital put option type: if true, cash-or-nothing, if false asset-or-nothing | |
Rate | callDigitalPayoff_ |
digital call option payoff rate, if any | |
Rate | putDigitalPayoff_ |
digital put option payoff rate, if any | |
Real | callLeftEps_ |
the left and right gaps applied in payoff replication for call | |
Real | callRightEps_ |
Real | putLeftEps_ |
the left and right gaps applied in payoff replication for puf | |
Real | putRightEps_ |
bool | hasPutStrike_ |
bool | hasCallStrike_ |
Replication::Type | replicationType_ |
Type of replication. | |
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boost::shared_ptr< InterestRateIndex > | index_ |
DayCounter | dayCounter_ |
Natural | fixingDays_ |
Real | gearing_ |
Spread | spread_ |
bool | isInArrears_ |
boost::shared_ptr< FloatingRateCouponPricer > | pricer_ |
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Date | paymentDate_ |
Real | nominal_ |
Date | accrualStartDate_ |
Date | accrualEndDate_ |
Date | refPeriodStart_ |
Date | refPeriodEnd_ |
Date | exCouponDate_ |
Real | accrualPeriod_ |
Ibor rate coupon with digital digital call/put option.