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QuantLib::DigitalCmsCoupon Class Reference

#include <digitalcmscoupon.hpp>

Inheritance diagram for QuantLib::DigitalCmsCoupon:

QuantLib::DigitalCoupon QuantLib::FloatingRateCoupon QuantLib::Coupon QuantLib::Observer QuantLib::CashFlow QuantLib::Event QuantLib::Observable

List of all members.

Detailed Description

Cms-rate coupon with digital digital call/put option.

Definition at line 36 of file digitalcmscoupon.hpp.

Public Member Functions

 DigitalCmsCoupon (const boost::shared_ptr< CmsCoupon > &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 >())
void notifyObservers ()
< FloatingRateCouponPricer
pricer () const
void registerWith (const boost::shared_ptr< Observable > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
virtual void accept (AcyclicVisitor &)
BigInteger accrualDays () const
 accrual period in days
const DateaccrualEndDate () const
 end of the accrual period
Time accrualPeriod () const
 accrual period as fraction of year
const DateaccrualStartDate () const
 start of the accrual period
Real nominal () const
const DatereferencePeriodEnd () const
 end date of the reference period
const DatereferencePeriodStart () const
 start date of the reference period
Coupon interface
Real accruedAmount (const Date &) const
 accrued amount at the given date
DayCounter dayCounter () const
 day counter for accrual calculation
Real price (const Handle< YieldTermStructure > &discountingCurve) const
virtual Rate adjustedFixing () const
 convexity-adjusted fixing
virtual Date fixingDate () const
 fixing date
Natural fixingDays () const
 fixing days
Real gearing () const
 index gearing, i.e. multiplicative coefficient for the index
const boost::shared_ptr
< InterestRateIndex > & 
index () const
 floating index
virtual Rate indexFixing () const
 fixing of the underlying index
bool isInArrears () const
 whether or not the coupon fixes in arrears
Spread spread () const
 spread paid over the fixing of the underlying index
CashFlow interface
Real amount () const
 returns the amount of the cash flow
Digital inspectors
Rate callDigitalPayoff () const
Rate callOptionRate () const
Rate callStrike () const
bool hasCall () const
bool hasCollar () const
bool hasPut () const
bool isLongCall () const
bool isLongPut () const
Rate putDigitalPayoff () const
Rate putOptionRate () const
Rate putStrike () const
< FloatingRateCoupon
underlying () const
Coupon interface
Rate convexityAdjustment () const
 convexity adjustment
Rate rate () const
 accrued rate
Event interface
Date date () const
Event interface
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 returns true if an event has already occurred before a date
void setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer)
Observer interface
void update ()

Protected Member Functions

Rate convexityAdjustmentImpl (Rate fixing) const
 convexity adjustment for the given index fixing

Protected Attributes

Date accrualEndDate_
Date accrualStartDate_
DayCounter dayCounter_
Natural fixingDays_
Real gearing_
< InterestRateIndex
bool isInArrears_
Real nominal_
Date paymentDate_
< FloatingRateCouponPricer
Date refPeriodEnd_
Date refPeriodStart_
Spread spread_
Data members
Real callCsi_
 multiplicative factor of call payoff
Rate callDigitalPayoff_
 digital call option payoff rate, if any
Real callLeftEps_
 the left and right gaps applied in payoff replication for call
Real callRightEps_
Rate callStrike_
 strike rate for the the call option
bool hasCallStrike_
bool hasPutStrike_
bool isCallATMIncluded_
 inclusion flag og the call payoff if the call option ends at-the-money
bool isCallCashOrNothing_
 digital call option type: if true, cash-or-nothing, if false asset-or-nothing
bool isPutATMIncluded_
 inclusion flag og the put payoff if the put option ends at-the-money
bool isPutCashOrNothing_
 digital put option type: if true, cash-or-nothing, if false asset-or-nothing
Real putCsi_
 multiplicative factor of put payoff
Rate putDigitalPayoff_
 digital put option payoff rate, if any
Real putLeftEps_
 the left and right gaps applied in payoff replication for puf
Real putRightEps_
Rate putStrike_
 strike rate for the the put option
Replication::Type replicationType_
 Type of replication.
< FloatingRateCoupon

The documentation for this class was generated from the following files:

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