Cms-spread-rate coupon with digital digital call/put option. More...
#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>
Inheritance diagram for DigitalCmsSpreadCoupon:Public Member Functions | |
| DigitalCmsSpreadCoupon (const boost::shared_ptr< CmsSpreadCoupon > &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 &) |
Public Member Functions inherited from DigitalCoupon | |
| 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) |
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(), 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 | |
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... | |
| bool | tradingExCoupon (const Date &refDate=Date()) const |
| returns true if the cashflow is trading ex-coupon on the refDate | |
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< 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 | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from FloatingRateCoupon | |
| Rate | convexityAdjustmentImpl (Rate fixing) const |
| convexity adjustment for the given index fixing | |
Protected Attributes inherited from DigitalCoupon | |
| 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. | |
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_ |
| Date | exCouponDate_ |
| Real | accrualPeriod_ |
Cms-spread-rate coupon with digital digital call/put option.