capped floored overnight indexed coupon More...
#include <qle/cashflows/averageonindexedcoupon.hpp>
Public Member Functions | |
CappedFlooredAverageONIndexedCoupon (const ext::shared_ptr< AverageONIndexedCoupon > &underlying, Real cap=Null< Real >(), Real floor=Null< Real >(), bool nakedOption=false, bool localCapFloor=false, bool includeSpread=false) | |
Observer interface | |
void | deepUpdate () override |
LazyObject interface | |
void | performCalculations () const override |
void | alwaysForwardNotifications () override |
Coupon interface | |
Rate | rate () const override |
Rate | convexityAdjustment () const override |
FloatingRateCoupon interface | |
Date | fixingDate () const override |
Rate | cap () const |
cap | |
Rate | floor () const |
floor | |
Rate | effectiveCap () const |
effective cap of fixing | |
Rate | effectiveFloor () const |
effective floor of fixing | |
Real | effectiveCapletVolatility () const |
effective caplet volatility | |
Real | effectiveFloorletVolatility () const |
effective floorlet volatility | |
Visitability | |
ext::shared_ptr< AverageONIndexedCoupon > | underlying_ |
Rate | cap_ |
Rate | floor_ |
bool | nakedOption_ |
bool | localCapFloor_ |
bool | includeSpread_ |
Real | effectiveCapletVolatility_ |
Real | effectiveFloorletVolatility_ |
virtual void | accept (AcyclicVisitor &) override |
bool | isCapped () const |
bool | isFloored () const |
ext::shared_ptr< AverageONIndexedCoupon > | underlying () const |
bool | nakedOption () const |
bool | localCapFloor () const |
bool | includeSpread () const |
capped floored overnight indexed coupon
CappedFlooredAverageONIndexedCoupon | ( | const ext::shared_ptr< AverageONIndexedCoupon > & | underlying, |
Real | cap = Null< Real >() , |
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Real | floor = Null< Real >() , |
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bool | nakedOption = false , |
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bool | localCapFloor = false , |
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bool | includeSpread = false |
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) |
capped / floored averaged, backward-looking on coupon, local means that the daily rates are capped / floored while a global cap / floor is applied to the effective period rate