CapFloor Class Reference#include <ql/Instruments/capfloor.hpp>
Inheritance diagram for CapFloor:
[legend]List of all members.
Detailed Description
Base class for cap-like instruments.
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Public Types |
enum | Type { Cap,
Floor,
Collar
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Public Member Functions |
| CapFloor (Type type, const std::vector< Handle< CashFlow > > &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates, const RelinkableHandle< TermStructure > &termStructure, const Handle< PricingEngine > &engine) |
void | setupArguments (Arguments *) const |
double | impliedVolatility (double price, double accuracy=1.0e-4, Size maxEvaluations=100, double minVol=QL_MIN_VOLATILITY, double maxVol=QL_MAX_VOLATILITY) const |
| implied term volatility
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bool | isExpired () const |
| returns whether the instrument is still tradable.
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Type | type () const |
const std::vector< Handle<
CashFlow > > & | leg () const |
const std::vector< Rate > & | capRates () const |
const std::vector< Rate > & | floorRates () const |
Member Function Documentation
void setupArguments |
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Arguments * |
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const [virtual] |
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When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument. |
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